Question
Which of the following is a limitation of the Value at
Risk (VaR) approach, a widely used risk management tool, to measuring risk?Solution
A limitation of the value at risk (VaR) approach to measuring risk is that it fails to specify the maximum loss that could occur. VAR statistic has three components - a relatively high level of confidence (typically either 95% or 99%), a time period (a day, a month or a year) and an estimate of investment loss (expressed either in absolute or percentage terms). However, at a 99% confidence level what VAR really means is that in 1% of cases (that would be 2-3 trading days in a year with daily VAR) the loss is expected to be greater than the VAR amount. Value At Risk does not say anything about the size of losses within this 1% of trading days and by no means does it say anything about the maximum possible loss.
An examinee is required to answer 7 questions out of 14 questions, which are divided into two groups each containing 7 questions. He is not permitted to...
In How many ways can a student choose a program of 5 courses, if 9 courses are available and 2 courses are compulsory for every student?
Out of 6 men and 3 women a committee of 3 members is to be formed so that it has 2 men and 1 woman. In how many different ways can this be done?
In how many ways, can a team of 11 players be selected from a squad of 16 players?Â
- How many four-letter words without repetition having exactly two vowels can be formed by using the letters of the word "VINTAGER"?
In how many ways can 12 girls be seated in a row of 50 seats so that no girl sits on the adjacent seat?
A bag contains 4 violet, 2 grey and 6 black pullovers. 3 pullovers are chosen at random. What is the probability that at least 2 pullovers chosen will b...
A total of 24 points are given on a plane, out of which 10 are collinear. How many distinct straight lines can be formed using these points?
Find total number of ways in which the word “ACCOMMODATE” can be arranged.
Four dice are rolled simultaneously. What is the number of possible outcomes in which at least one of the die shows 2?