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Basic Question 13 of 19
A 5% historical simulation VaR of a $100 million portfolio is $5 million over a one-day period.
B. This VaR is in the fifth percentile on the distribution arrayed from lowest to highest.
C. This VaR statement is incorrect.
A. This VaR value lies 1.65 standard deviations to the left of the expected value.
B. This VaR is in the fifth percentile on the distribution arrayed from lowest to highest.
C. This VaR statement is incorrect.
User Contributed Comments 1
| User | Comment |
|---|---|
| davidt87 | would A be true for parametric? |
I passed! I did not get a chance to tell you before the exam - but your site was excellent. I will definitely take it next year for Level II.
Tamara Schultz
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.