Question
Good Afternoon! Could you please help explain this derivatives finance question to me? Thanks! A value at risk (VaR) of $5 million for one year
Good Afternoon!
Could you please help explain this derivatives finance question to me? Thanks!
A value at risk (VaR) of $5 million for one year at 5% probability is best interpreted as:
A) the firm faces a 5% probability of losing at least $5 million in one year
B) the maximum loss faced by a firm 5% of the time is $5 million
C) no more than $5 million loss is expected with 5% probability
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Investments
Authors: Zvi Bodie, Alex Kane, Alan Marcus, Stylianos Perrakis, Peter
8th Canadian Edition
007133887X, 978-0071338875
