Risk Management Quiz question

DarienHacker

Simple question: Which probability leads to a more conservative VAR estimate?

A) .01
B) .05
C) I'm going to fail this thing

bpdulog

A - you are going deeper into the tails of the distribution.

canadiananalyst

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.

mcmc

pimpineasy Wrote:
-------------------------------------------------------
> 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.

thommo77

A, covers more probability, so larger number.

Darien

good gravy goodman is right ..............lol in that case give me C

Zestt

A

NO EXCUSES