题目
Hugo Nelson is preparing a presentation on the attributes of value at risk. Which of Nelson's following statements is not correct?
选项
A.VaR can account for the diversified holdings of a financial institution, reducing capital requirements.
B.VaR(10%) = $0 indicates a positive dollar return is likely to occur on 90 out of 100 days.
C.VaR(1%) can be interpreted as the number of days that a loss in portfolio value will exceed 1%.
D.VaR was developed in order to more closely represent the economic capital necessary to ensure commercial bank solvency.
答案
C
解析
VaR(X%) is defined as the dollar or percentage loss in portfolio value that will be exceeded only X% of the time. VaR(10%)=$0 indicates that there is a 10% probability that on any given day the dollar loss will be greater than $0. Alternatively, we can say there is a 90% probability that on any given day the dollar gain will be greater than $0. VaR was developed by commercial banks to provide a more accurate measure of their economic capital requirements, taking into account the effects of diversification.VaR（X％）定义为仅在X％的时间内会超过的美元或投资组合价值损失百分比。 VaR（10％）= $ 0表示在任何给定的日期，美元损失将大于$ 0的可能性为10％。 或者，我们可以说有90％的概率在任何给定的日子里美元收益都将大于$ 0。 VaR由商业银行开发，目的是在考虑多样化影响的情况下提供更准确的经济资本要求度量。