Question
A value at risk (VaR) of $1 million for one year at 5% probability is best interpreted as: a) the firm is at risk of
A value at risk (VaR) of $1 million for one year at 5% probability is best interpreted as:
a) the firm is at risk of losing 5% of $1 million in one year
b) the most the firm can lose is $1 million in one year
c) the firm faces a 5% probability of losing at least $1 million in one year
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Financial Theory and Corporate Policy
Authors: Thomas E. Copeland, J. Fred Weston, Kuldeep Shastri
4th edition
321127218, 978-0321179548, 321179544, 978-0321127211
