题目
You are asked by your Chief Risk Officer to evaluate arguments he has heard to switch from VaR to conditional VaR as your firm's main risk measurement tool. Which of the following arguments is not correct?
选项
A.Conditional VaR is a coherent risk measure in contrast to VaR.
B.Conditional VaR estimated for a confidence level corresponding to one minus the probability of default for the firm's target rating provides an unbiased measure of the amount of the economic capital required above the firm's bankruptcy threshold point to achieve the probability of default associated with the firm's target rating.
C.A low VaR does not mean that the firm will make small losses when VaR is exceeded, but a low conditional VaR means that the firm will make small losses when VaR is exceeded.
D.For the same confidence level, conditional VaR is greater than VaR.
答案
B
解析
Answer B, not the probability of default, the probability of significant.答案B，不是违约的概率，是显著性