portfolio reading 48

The Index Plus Fund has a one-day 95% value at risk (VaR) of $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.

B选项也包含时间，其实如果没有B，C就对了。何老师讲课时也说过，如果这两种表述都存在，那选原版书教材上的表述。

你说的对，确实这道题有点问题，我看错了。选项B缺少时间，选项C是正确的。

但如果这两种表述都存在而且都正确，那选原版书教材上的表述。

Hamilton plans to include a scenario analysis that reflects this possibility to ensure that management has the broadest possible view of the risk exposures in the India portfolio.

stress test只是 scenario analysis中一种非常特殊的情况，而且题干的描述也完全不是极端情况。

第六题：题干中说The markets’ volatility during the last 12 months has been significantly higher than the historical norm, with increased frequency of large daily losses, and Hamilton expects the next 12 months to be equally volatile.

Parametric method基于过去的参数而且假设正态分布，在这种市场情况大幅波动的时候不适用