题目
What is the appropriate interpretation of a 10 million overnight VaR figure, given a 95% confidence interval?
选项
A.The bank can be expected to incur a minimum loss of 10 million in 5 out of the next 100 days.
B.The bank will incur a maximum loss of 10 million in 5 out of the next 100 days.
C.The bank can be expected to incur a minimum loss of 10 million in 95 out of the next 100 days.
D.The bank will incur a maximum loss of 10 million in 95 out of the next 100 days.
答案
A
解析
Another way of looking at it is that the bank can expected to exceed a loss of ￡10 million in no more than five of the next 100 days.另一种看待它的方式是，在接下来的100天之内，该银行的损失有望超过1000万英镑。