Multiple Choice
Which of the following is true of value at risk (VAR) ?
A) It can be applied only at a significance level of 5%.
B) The shorter the time horizon,the more spread out is the normal distribution curve of the VAR.
C) It is the percentage of the portfolio which is not invested in the risk-free assets.
D) It is the worst loss possible under normal market conditions for a given time horizon.
Correct Answer:
Verified
Correct Answer:
Verified
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