MCQOPTIONS
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| 1. |
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. |
| Answer» D. the confidence level used. | |