A. Existing data points can be used to “smooth” the data points to allow for VAR calculation at all confidence levels.
B. One of the advantages of non-parametric density estimation is that the underlying distribution is free from restrictive assumptions.
C. The major downfall of the non-parametric approach compared to the traditional historical simulation approach is that VAR can only be calculated for a continuum of points in the data set.
D. Makes an adjustment that connects the midpoints between successive histogram bars in the original data set’s distribution.
