You are asked by your CRO to *uate arguments he has heard to switch from VaR to conditional VaR as your firm’s main risk measurement tool. Which of the choices below is wrong?
　　A. Conditional VaR is greater than VaR for the same confidence level.
　　B. Conditional VaR is a coherent risk measure in contrast to VaR.
　　C. A low VaR does not mean that the firm will make small losses when VaR is exceeded, but a low conditional VaR means that the firm will make small losses when VaR is exceeded.
　　D. Conditional VaR estimated for a confidence level corresponding to one minus the probability of default for the firm’s target rating provides an unbiased measure of the amount of the economic capital required above the firm’s bankruptcy threshold point to achieve the probability of default associated with the firm’s target rating.
　　Answer: D
　　Answer D, not the probability of default, the probability of significant.
　　各位考生想顺利通过FRM考试，除了掌握专业知识和答题技巧之外，还可以关注高顿网校的精品网课，高顿网校专业讲师为考生们提供考试复习笔记汇总，帮助考生更好地理解FRM知识，高顿祝各位考生考试大捷！进入直播>>
        FRM考试在线高清视频指导