微信扫一扫
实时资讯全掌握
|
Assume that the value at risk (VAR) over a 1-day time horizon for an $80 million equity portfolio at the 95 percent confidence level is calculated to be $792,000. Which of the following is a drawback to this VAR calculation? A. Increasing the time period used in the calculation will increase the VAR. B. The actual loss in a time of extreme market stress could be much greater than $792,000. C. The interpretation of the VAR measure would be different for a fixed-income portfolio. D. The measure is backward looking. |