题目
What is the correct interpretation of a $3 million overnight VaR figure with 99% confidence level?
选项
A.The institution can be expected to lose at most $3 million in 1 out of next 100 days.
B.The institution can be expected to lose at least $3 million in 95 out of next 100 days.
C.The institution can be expected to lose at least $3million in 1 out of next 100 days.
D.The institution can be expected to lose at most $6 million in 2 out of next 100 days.
答案
C
解析
VaR provides a loss estimate that is expected to be exceeded with the frequency at which the VaR was calculated.VaR提供的损耗估计值预计会被计算VaR的频率所超出。