A 5% HISTORICAL SIMULATION VAR OF $850,000 IS THE

5. - CFA 2018 LEVEL 2 PORTFORLIO QUESTION BANK R49 MEASURING MANAGING MARKET RISK Q BANK

CFA 2018 LEVEL 2 PORTFORLIO QUESTION BANK R49 MEASURING MANAGING MARKET RISK Q BANK

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5. A 5% historical simulation VaR of $850,000 is the:

A. fifth percentile – a point on the distribution beyond which 5% of the outcomes result in

greatest gains.

B. fifth percentile – a point on the resulting distribution past which 5% of the outcomes end

in larger losses.

C. value that is 2.33 standard deviations below the expected value.