one-day 95% value at risk (VaR) of $6.5 million是什么意思

问题如下：

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.

B.

Five percent of the time, the portfolio can be expected to experience a loss of at least $6.5 million.

C.

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：

考点：VaR的定义

解析：

这道原版书课后题不够严谨！

A：错在expected，VaR不是期望（或者说均值） ，它体现的是最大/最小损失。

B：5%的时间有最小损失$6.5 m。B选项其实并不完整，它没有说清time period。但是原版书答案为B。

C：95%的时间在一天内的最大损失为$6.5 m，描述本身没有问题，但参考答案给出解释：it implies that the portfolio will experience a loss on 95% of trading days，意思是说这样的表达暗示了组合在95%的时间里都会面临损失，尽管也有可能获得收益，但是如果是跟领导汇报，这样的表达被引起误解。

总结：如果B选项把time period补充进去，那么BC其实都对。如果考试的时候遇到，我们按照原版书的解释，选B更合适。

B is correct.

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.