为什么VAR可以检测rogue trader？

问题如下：

To monitor risk in a large firm with many types of managers:
I.     VaR is useful to detect rogue traders.
II.    VaR is not useful to detect rogue traders.
III.   VaR can measure the effect of changes in benchmark characteristics on risk.
V.    VaR is not useful to monitor risk in large firms.

Which of the following is correct:

选项：

A.

Both I and III.

B.

Both II and III.

C.

Only I.

D.

Only V.

解释：

A is correct.

考点：Monitoring Risk With VAR

解析：VAR是大公司进行风险监控的重要指标，它可以帮助识别流氓交易员，它可以检测基准特征变化而带来的风险变化。因此statement I 正确，II 错误，III 正确， V错误。因此选项A正确。