Question
A portfolio has a 5 percent chance of losing 15 percent or more according to the VaR when T = 1. This can be interpreted
A portfolio has a 5 percent chance of losing 15 percent or more according to the VaR when T = 1. This can be interpreted to mean that the portfolio is expected to have an annual loss of 15 percent or more once in every how many years?
| 5 | ||
| 15 | ||
| 20 | ||
| 40 | ||
| 100 |
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International Corporate Finance
Authors: Mark R. Eaker, Frank J. Fabozzi, Dwight Grant
1st Edition
0030693063, 9780030693069
