题目
A company reports a one-week VaR of $1 million at the 95% confidence level. Which of the following statements is most likely to be true?
选项
A.The daily return on the company portfolio follows a normal distribution so that a one-week VaR could be computed.
B.The one-week VaR at the 99% confidence level is $5 million.
C.With probability 5%, the company will lose $1 million or more in one week.
D.With probability 95%, the company will not experience a loss greater than $95 million in one week.
答案
C
解析
A one-week 95% VaR of $1 million means that the company will suffer losses of more than $1 million in a single week 5% of the time.100万美元的一周95％VaR表示该公司将在5％的时间内在一周内遭受超过100万美元的损失。