CFA Practice Question

There are 221 practice questions for this study session.

CFA Practice Question

A financial firm may determine that it has a 5% one month value at risk of $100 million. This means ______.

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?
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