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'1-day VaR at 1% probability = $5 million' is equivalent to any of the following statements with the EXCEPTION of which statement? A. Our portfolio
| '1-day VaR at 1% probability = $5 million' is equivalent to any of the following statements with the EXCEPTION of which statement? | |||||||||||||
| A. Our portfolio will have a one-day loss that exceeds $5 million in 1% of the trading days | |||||||||||||
| B. There is a 1% chance that our portfolio will lose less than $5 million in one trading day | |||||||||||||
| C. Our portfolio will have a one-day loss of less than $5 million in 99% of the trading days | |||||||||||||
| D. Our portfolio will lose more than $5 million in 1 out of every 100 trading days | |||||||||||||
| E. There is a 99% chance that our portfolio will lose less than $5 million in one trading day | |||||||||||||
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Airline Finance
Authors: Peter S. Morrell
4th Edition
1351959743, 978-1351959742
