- 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
Which risk measure answers the question of "how much can I expect to lose if VaR is exceeded"?
B. Conditional VaR
C. Incremental VaR
A. VaR
B. Conditional VaR
C. Incremental VaR
Correct Answer: B
Conditional VaR measures the average loss if the VaR cutoff is exceeded.
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