标题: VAR Q [打印本页] 作者: LPoulin133 时间: 2011-7-11 19:43 标题: VAR Q
The portfolio's monthly value at risk, as opposed to shortfall risk and standard deviation, determines the most the portfolio can lose in any month.
True or False?
Edited 1 time(s). Last edit at Wednesday, May 25, 2011 at 10:51PM by deriv108.作者: Darien 时间: 2011-7-11 19:43
false. shows the amount it can be expected to at least exceed作者: ohai 时间: 2011-7-11 19:43
False. VAR and shortfall risk are unable to determine the extent of the worst losses.
However, the way your question is worded is somewhat misleading. At a given confidence level, VAR can indeed tell you the maximum your portfolio is expected to lose.
