10. The hybrid approach for estimating VaR is the combination of a parametric and a nonparametric approach. Itspecifically combines the historical simulation approach with:a. The delta normal approach.b. The exponentially weighted moving average approach.c. The multivariate density estimation approach.d. The generalized autoregressive conditional heteroskedasticity approach.

THE HYBRID APPROACH FOR ESTIMATING VAR IS THE COMBINATION OF A PAR...

2015 FRM PRACTICE EXAM

10.

The hybrid approach for estimating VaR is the combination of a parametric and a nonparametric approach. It

specifically combines the historical simulation approach with:

The delta normal approach.

The exponentially weighted moving average approach.

The multivariate density estimation approach.

The generalized autoregressive conditional heteroskedasticity approach.