1. Which of the following statements is least accurate regarding VaR?
A. VaR gives the probability of the minimum amount that one can lose over a certain period.
B. VaR can be expressed either in currency units or as a rate of return.
C. A 5% VaR of €2.0 million for one month is a loss of at least €2.0 million that would be
expected to occur over one month 5% of the time.
Bạn đang xem 1. - CFA 2018 LEVEL 2 PORTFORLIO QUESTION BANK R49 MEASURING MANAGING MARKET RISK Q BANK
