3. Which of the following statements is least likely correct?
A. The parametric method of VaR estimation usually assumes a normal distribution.
B. A daily expected return of 0.0448% and daily standard deviation of 1.066% results in the
5% VaR for a $100 million portfolio of approximately $1.7 million.
C. The historical simulation method of VaR estimation like the parametric method gives
equal weights to all observations in a sample.
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