The maximum one-day loss computed for the value-at-risk (VAR) method, does not depend on: | Faculties

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Shiva Ram

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📊 International Financial Management

Q. The maximum one-day loss computed for the value-at-risk (VAR) method, does not depend on:

(A) the expected percentage change in the currency for the next day.
(B) the standard deviation of the daily percentage changes in the currency over a previous period.
(C) the current level of interest rates.
(D) the confidence level used.

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✅ Correct Answer: (C) the current level of interest rates.

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