题目
Which of the following statements are TRUE?
选项
A.VaR fails to tell us what losses to expect once the VaR threshold is breached.
B.VaR gives an estimate of maximum loss at the given confidence interval.
C.VaR is the minimum loss for the (1 - confidence interval)% worst cases.
D.All of the above.
答案
D
解析
Since the VaR is the minimum loss in the worst case, it fails to tell us what losses to expect once the VaR threshold is breached.由于VaR在最坏的情况下是最小的损失，因此无法告诉我们一旦VaR阈值被突破后会发生什么损失。