问题如下:
Based on Exhibit 1, Flusk’s portfolio is expected to experience:
选项:
A.a minimum daily loss of $1.10 million over the next year.
a loss over one month equal to or exceeding $5.37 million 5% of the time.
an average daily loss of $1.10 million 5% of the time during the next 250 trading days.
解释:
B is correct. VaR is the minimum loss that would be expected a certain percentage of the time over a specified period of time given the assumed market conditions. A 5% VaR is often expressed as its complement—a 95% level of confidence. Therefore, the monthly VaR in Exhibit 1 indicates that $5.37 million is the minimum loss that would be expected to occur over one month 5% of the time. Alternatively, 95% of the time, a loss of more than $5.37 million would not be expected
月考上做错了这道题。
A选项不正确,是因为这个选项没有指出VAR的概率吗?
谢谢老师。