问一道题：NO.PZ201702190100000103 第3小题 [ CFA II ]

NO.PZ201702190100000103 问题如下 Whiof the following statements regarng the Vof the Inx Plus Funis correct? A.The expectemaximum loss for the portfolio is $6.5 million. B.Five percent of the time, the portfolio cexpecteto experiena loss of least $6.5 million. C.Ninety-five percent of the time, the portfolio cexpecteto experiena one-y loss of no more th$6.5 million. 考点VaR的定义解析这道原版书课后题不够严谨！A错在expecteVaR不是期望（或者说均值） ，它体现的是最大/最小损失。B5%的时间有最小损失$6.5 m。B其实并不完整，它没有说清time perio但是原版书答案为B。C95%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it implies ththe portfolio will experiena loss on 95% of trang ys，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把time perio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，选B更合适。B is correct. Vmeasures the frequenof losses of a given minimum magnitu. Here the Vincates thon 5% of trang ys, the portfolio will experiena loss of least $6.5 million. (Although C mappeto sthe same thing it actually implies ththe portfolio will experiena loss on 95% of trang ys.) The correinterpretation is threturns will equto or greater th-$6.5 million on 95% of trang ys; those returns inclu gains well losses. 1、one-y 95% value risk (VaR) of $6.5 million2、one-y 5% value risk (VaR) of $6.5 million两者是一个意思吗？我记得一般是用第二种表述的呀

NO.PZ201702190100000103 为什么 c 不是正确答案

C错在哪？BC不是属于VAR的两种含义吗

    老师好。。。这道题目我和以前同学的疑问一样。C强调了 “one y loss”，我觉得更全面严谨。