Which one of the following is the correct interpretation of a $10million overnight VaR figure with 99% confidence level?
A.  The institution can be expected to lose at most $10 million in 1 out of next 100 days.
B.  The institution can be expected to lose at least $10 million in 95 out of next 100 days.
C.  The institution can be expected to lose at least $10 million in 1 out of next 100 days.
D.  The institution can be expected to lose at most $20 million in 2 out of next 100 days.
Answer:C
VaR provides a loss estimate that is expected to be exceeded with the frequency at which the VaR was calculated.

 
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