CFA Practice Question

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CFA Practice Question

A 5% historical simulation VaR of a $100 million portfolio is $5 million over a one-day period.

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?
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