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The 10-Q report of Global Bank states that the monthly VaR ofABC Bank is $10 million at a 95% confidence level. What is the proper interpretation of this statement?

A) If we collect 100 monthly gain/loss data of Global Bank, we will always see five months with losses larger than $10m.

B) There is a 5% probability that the bank will gain less than $10m each month.

C) There is a 95% probability that the bank will lose less than $10m over a month.

D) There is a 5% probability that the bank will lose less than $10m over a month.

答案：C掃碼咨詢

解析：There is a 95% probability that the bank will lose less than $10m in a month. We could also say there is a 5% probability that we will lose more than $10m in a month. "If we collect 100 monthly gain/loss data of Global Bank, we will always see five months with losses larger than $10m" is not the correct interpretation of probability in that we cannot assume outcomes with certainty, instead we need to assume probabilities. 【資料下載】[融躍財(cái)經(jīng)]FRM一級ya題-pdf版

Aportfolio has a current value of $40 million with a mean return of 0.48% and a volatility of 8%.What is the 95% lognormal VaR?

A) 2.91

B) 3.86

C) 4.76

D) 5.07

答案：C

解析：lognormal VaR = [1 – exp(0.48%-1.645*8%)]*40 = 4.76

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