- CFA Exams
- CFA Level I Exam
- Topic 9. Portfolio Management
- Learning Module 66. Introduction to Risk Management
- Subject 4. Measuring and Modifying Risks
CFA Practice Question
A financial firm may determine that it has a 5% one month value at risk of $100 million. This means ______.
II. there is a 5% chance that the firm could lose a maximum of $100 million in any given month.
III. a $100 million loss should be expected to occur once every 20 months.
I. there is a 5% chance that the firm could lose more than $100 million in any given month.
II. there is a 5% chance that the firm could lose a maximum of $100 million in any given month.
III. a $100 million loss should be expected to occur once every 20 months.
Correct Answer: I and III
This measures the minimum loss.
User Contributed Comments 5
| User | Comment |
|---|---|
| josephk417 | if 99% confidence interval is one in a hundred... Why is 95% one in 20? |
| khalifa92 | 5/100=20 |
| jjenkins7 | 1 out of 20 months = 5% |
| jorgeandre | III is incorrect because it is not expected to lose 100M, it at least 100 million |
| davidt87 | agreed jorgeanre and joseph how did you get here? |