NO.PZ202110140100000504
问题如下：
Which of the following conclusions of Exhibit 1 is least likely to be true?
选项：
A.5% of the time, losses from Factor 1 would be at least 6.49%. B.When the VaR is exceeded in Factor 1, we should expect an average loss of 15.73%. C.5% of the time, losses from Factor 2 are likely to be worse than losses from Factor 1.解释：
C is correct.
The VaR metrics in Exhibit 1 show that 5% of the time, losses will
be at least 6.49% and 0.77%, respectively, for Factor 1 and Factor 2. The CVaR
metrics in Exhibit 1 show that the weighted average of all loss outcomes that
exceed the VaR loss are 15.73% and 4.21% for Factor 1 and Factor 2, respectively. Thus, A is true because it correctly defines VaR, and B is true because it
correctly defines CVaR, whereas C is untrue because both VaR and CVaR are
lower for Factor 2 than Factor 1.
B为啥不对呢？
