Multiple Choice
VaR as a risk measure has the following deficiency:
A) It does not consider the shape of losses in the left tail of the P&L distribution.
B) It does not consider the shape of losses outside the left tail of the P&L distribution.
C) Neither of the above.
D) Both of the above.
Correct Answer:
Verified
Correct Answer:
Verified
Q1: A portfolio has a current value
Q2: Identifying the risk contribution of an asset
Q3: "Subadditivity" is the requirement of a coherent
Q4: "Monotonicity" is the requirement of a risk-measure
Q6: Consider a two-asset portfolio invested with
Q7: If a portfolio is doubled in size,
Q8: The expected shortfall (ES) measure does not
Q9: Worst-case scenario analysis develops a measure that
Q10: A portfolio has a current value
Q11: The delta-normal method for computing VaR has