题目
A risk manager states that the VaR of the portfolio at 95% confidence interval and 1-day holding period is $1 million. Which of the following statement is TRUE?
选项
A.The daily loss on the portfolio will exceed $1 million 95% of time.
B.The daily loss on the portfolio will not exceed $1 million 95% of time.
C.The maximum loss that the portfolio can incur is $1 million at any point in time.
D.95% of risk managers will agree that the maximum loss on the portfolio will be $1 million.
答案
B
解析
This is standard definition of VaR, reworded slightly.这是VaR的标准定义，略有修改。