FRM P1精选题解析:风险价值(VAR)

Value-at-risk(VAR)is the:
 
A)maximum expected loss for a given confidence level.
 
B)the worst possible loss for an asset.
 
C)minimum expected loss for a given confidence level.
 
D)average loss exceeding a specified threshold.
 
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Answer:A
 
Solution:
 
VAR is the maximum expected loss for a given confidence level assuming normal market returns.
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