Which of the following statements regarding the Historical Simulation Method of Value-at-Risk is correct?
Select one:
a.
Historical simulation generally requires making assumptions about the probability distributions of risk variables and their correlation
b.
Historical simulation requires the setting of operating scenarios by senior management
c.
Historical simulation requires the setting of operating scenarios by the board
d.
Historical simulation generally does not require the specification of a dependence structure between risk variables

Q&A Education