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Normal distribution for asset returns

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Reference no: EM132798385

Two of the following statements about market risk models are incorrect.

Select the two statements that are incorrect and explain why they are incorrect.

Statement 1: "The Risk Metrics model does not rely on a normal distribution for asset returns.

Statement 2: "A disadvantage of the Back Simulation model is the thin trading problem for assets that do not trade frequently"

Statement 3: "The Conditional VaR (Expected Shortfall) model is accurate and easy to calibrate"

Reference no: EM132798385

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