) TO ADDRESS VARNET'S QUESTION REGARDING A CHANGE TO A MONTHLY VAR MEASURE, PEARSON'S MOST APPROPRIATE RESPONSE WOULD BE THAT THE VAR ESTIMATE FOR THE PORTFOLIO WOULD

2.) To address Varnet's question regarding a change to a monthly VaR measure, Pearson's

most appropriate response would be that the VaR estimate for the portfolio would:

A.

not change.

B.

decrease.

C.

increase.

Answer = C

The longer the time period chosen the greater the VaR will be because the magnitude of

potential losses increases with the time span over which they are measured.

“Risk Management,” by Don M. Chance, Kenneth Grant, and John Marsland