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LOS e: Interpret and compute value at risk (VAR) and explain its role in measuring overall and individual position market risk.
Q1. If the one-day value at risk of a portfolio is $50,000 at a 95 percent probability level, this means that we should expect that in one day out of:
A) 20 days, the portfolio will decline by $50,000 or more.
B) 20 days, the portfolio will decline by $50,000 or less.
C) 95 days, the portfolio will lose $50,000.
Q2. The minimum amount of money that one could expect to lose with a given probability over a specific period of time is the definition of:
A) delta.
B) the hedge ratio.
C) value at risk (VAR).
Q3. Value at risk (VAR) is a benchmark associated with a given probability. The actual loss:
A) cannot exceed this amount.
B) is expected to be the average of the expected return of the portfolio and VAR.
C) may be much greater. | 
发表于 2009-4-7 18:28
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