NO.PZ2023040601000023
问题如下：
The Index Plus Fund has a one-day 95% value at risk (VaR) of $6.5 million. Which of the following statements regarding the VaR of the Index Plus Fund is correct?
选项：
A.The expected maximum loss for the portfolio is $6.5 million.
Five percent of the time, the portfolio can be expected to experience a loss of at least $6.5 million.
Ninety-five percent of the time, the portfolio can be expected to experience a one-day loss of no more than $6.5 million.
解释：
VaR measures the frequency of losses of a given minimum magnitude. Here the VaR indicates that on 5% of trading days, the portfolio will experience a loss of at least $6.5 million. (Although C may appear to say the same thing as B, it actually implies that the portfolio will experience a loss on 95% of trading days.) The correct interpretation is that returns will be equal to or greater than -$6.5 million on 95% of trading days; those returns include gains as well as losses.
我理解B和C的区别就是那个one-day loss
题干写了one day 95% value at risk (VaR) ，那不就意味着这个是one day loss吗？
