Which of the following statements is false?     A.   Historical VaR simulation involves using past data as a guide to what will happen in the future.   B.   Illiquidity is observed when there is a large difference between the offered sale price and the bid price.   C.   Yield spared is reflected in the size of the bid-ask spreads.   D.   The stressed VaR is based on how market variables have moved during a particularly adverse time period.

Essentials Of Investments
11th Edition
ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Chapter1: Investments: Background And Issues
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Which of the following statements is false?

 

 

A.

 

Historical VaR simulation involves using past data as a guide to what will happen in the future.

 

B.

 

Illiquidity is observed when there is a large difference between the offered sale price and the bid price.

 

C.

 

Yield spared is reflected in the size of the bid-ask spreads.

 

D.

 

The stressed VaR is based on how market variables have moved during a particularly adverse time period.

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