【FRM每日一题】一级：估值与风险模型
备考FRM一级 | 2015-11-02
Find the statement that interpretes a $10 million overnight VaR figure with 99% confidence level most correctly.A.The institution can be expected to lose at most $10 million in 1 out of next 100 days.
B.The institution can be expected to lose at least $10 million in 99 out of next 100 days.
C.The institution can be expected to lose at least $10 million in 1 out of next 100 days.
D.The institution can be expected to lose at most $10 million in 99 out of next 100 days.
Answer: C
VaR provides a loss estimate that is expected to be exceeded with the frequency at which the VaR was calculated.
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