- CFA Exams
- CFA Level I Exam
- Topic 9. Portfolio Management
- Learning Module 41. Measuring and Managing Market Risk
- Subject 1. Value at Risk
CFA Practice Question
A 5% historical simulation VaR of a $100 million portfolio is $5 million over a one-day period.
B. This VaR is in the fifth percentile on the distribution arrayed from lowest to highest.
C. This VaR statement is incorrect.
A. This VaR value lies 1.65 standard deviations to the left of the expected value.
B. This VaR is in the fifth percentile on the distribution arrayed from lowest to highest.
C. This VaR statement is incorrect.
Correct Answer: B
The VaR means that with 95% confidence, we expect that our worst daily loss will not exceed 5%.
User Contributed Comments 1
| User | Comment |
|---|---|
| davidt87 | would A be true for parametric? |