Simple question: Which probability leads to a more conservative VAR estimate?
A) .01
B) .05
C) I'm going to fail this thing作者: Darien 时间: 2011-7-11 19:39
good gravy goodman is right ..............lol in that case give me C作者: Zestt 时间: 2011-7-11 19:39
A
NO EXCUSES作者: thommo77 时间: 2011-7-11 19:39
A, covers more probability, so larger number.作者: bpdulog 时间: 2011-7-11 19:40
A - you are going deeper into the tails of the distribution.作者: canadiananalyst 时间: 2011-7-11 19:40
Depends on what the question means by conservative. If it means "less extreme" it's B. If it means from a risk budgeting perspective, then it's A.
But since I'm waffling and over-thinking, I'll take C.作者: mcmc 时间: 2011-7-11 19:40
pimpineasy Wrote:
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> good gravy goodman is right ..............lol in
> that case give me C
Great alliteration though.
A as well.
team_alex Wrote:
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> Depends on what the question means by
> conservative. If it means "less extreme" it's B.
> If it means from a risk budgeting perspective,
> then it's A.
>
> But since I'm waffling and over-thinking, I'll
> take C.
A more extreme VAR is considered more conservative.
Edited 1 time(s). Last edit at Wednesday, May 25, 2011 at 09:06AM by sbmarti2.
