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Basic Question 0 of 6
A financial firm may determine that it has a 5% one-month value at risk of $100 million. This means ______.
II. there is a 5% chance that the firm could lose a maximum of $100 million in any given month.
III. a $100 million loss should be expected to occur once every 20 months.
I. there is a 5% chance that the firm could lose more than $100 million in any given month.
II. there is a 5% chance that the firm could lose a maximum of $100 million in any given month.
III. a $100 million loss should be expected to occur once every 20 months.
User Contributed Comments 5
| User | Comment |
|---|---|
| josephk417 | if 99% confidence interval is one in a hundred... Why is 95% one in 20? |
| khalifa92 | 5/100=20 |
| jjenkins7 | 1 out of 20 months = 5% |
| jorgeandre | III is incorrect because it is not expected to lose 100M, it at least 100 million |
| davidt87 | agreed jorgeanre and joseph how did you get here? |
You have a wonderful website and definitely should take some credit for your members' outstanding grades.
Colin Sampaleanu
Learning Outcome Statements
describe relationships among spot rates, forward rates, yield to maturity, expected and realized returns on bonds, and the shape of the yield curve;
describe how zero-coupon rates (spot rates) may be obtained from the par curve by bootstrapping;
CFA® 2025 Level II Curriculum, Volume 4, Module 26.