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Basic Question 0 of 4
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? |
I am using your study notes and I know of at least 5 other friends of mine who used it and passed the exam last Dec. Keep up your great work!
Barnes
Learning Outcome Statements
describe how equity forwards and futures are priced, and calculate and interpret their no-arbitrage value;
CFA® 2025 Level II Curriculum, Volume 5, Module 31.