Multiple Choice
A portfolio has a 4.0% chance of losing 15% or more according to the VaR when T = 1. This can be interpreted to mean that the portfolio is expected to have an annual loss of 15% or more once in every how many years?
A) 1
B) 2
C) 25
D) 50
E) 100
Correct Answer:
Verified
Correct Answer:
Verified
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