题目
A bank has calculated a Value at Risk (VaR) of $10 million on its portfolio on a 1-day 99% confidence interval. Assuming a normal distribution which of the following is true?
选项
A.The bank expects to lose more than $31.6 million only once every 2.74 years.
B.The bank expects to lose more than $10 million once every 100 business days.
C.The bank expects to lose less than $10 million 90 days out of every 100 days.
D.The bank expects to lose more than $100 million only once every 2.74 years.
答案
B
解析
Given a $10 million, 1-day, 99% VaR, the bank should expect to lose at least $10 million during 1% of the business days in the year, or once in every 100 business days.给定1000万美元，1天，99％的VaR，该银行应期望在一年的工作日内（至少每100个工作日）损失至少1000万美元。