VAR Q 2011, False, monthly, standard

LPoulin133

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.

ohai

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.

NO EXCUSES

bkballa

false , not worst

Darien

false. shows the amount it can be expected to at least exceed