When Assessing Tail Risk by Looking at the 5% Worst-Case

Multiple Choice

When assessing tail risk by looking at the 5% worst-case scenario,the VaR is the ________.

A) most realistic as it is the most complete measure of risk
B) most pessimistic as it is the most complete measure of risk
C) most optimistic as it is the most complete measure of risk
D) most optimistic as it takes the highest return (smallest loss) of all the cases
E) none of the above