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首页>备考规划>备考FRM一级>【FRM每日一题】一级:估值与风险模型

【FRM每日一题】一级:估值与风险模型

发表时间:2015/11/2 13:19:54 编辑:小T 告诉小伙伴:
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[编考按]Find the statement that interpretes a $10 million overnight VaR figure with 99% confidence level most correctly...

   Find the statement that interpretes a $10 million overnight VaR figure with 99% confidence level most correctly.

  A.The institution can be expected to lose at most $10 million in 1 out of next 100 days.

  B.The institution can be expected to lose at least $10 million in 99 out of next 100 days.

  C.The institution can be expected to lose at least $10 million in 1 out of next 100 days.

  D.The institution can be expected to lose at most $10 million in 99 out of next 100 days.

  Answer: C

  VaR provides a loss estimate that is expected to be exceeded with the frequency at which the VaR was calculated.

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