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Basic Question 9 of 19
Which risk measure answers the question of "how much can I expect to lose if VaR is exceeded"?
B. Conditional VaR
C. Incremental VaR
A. VaR
B. Conditional VaR
C. Incremental VaR
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Colin Sampaleanu
Learning Outcome Statements
explain the use of value at risk (VaR) in measuring portfolio risk;
compare the parametric (variance -covariance), historical simulation, and Monte Carlo simulation methods for estimating VaR;
estimate and interpret VaR under the parametric, historical simulation, and Monte Carlo simulation methods;
describe advantages and limitations of VaR;
describe extensions of VaR;
CFA® 2025 Level II Curriculum, Volume 5, Module 41.