8. B is correct. Because of its reliance on the normal distribution in parametric method and
sometimes in Monte Carlo simulation method, VaR underestimates the frequency of extreme
events occurring in the left tail of the distribution. A is incorrect as VaR is widely accepted
by SEC and bank regulators. C is incorrect as VaR is affected by volatile and trending
regimes. Section 2.3.2. LO.d.
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