Which of the following is a limitation of the Value at Risk (VaR) approach, a widely used risk management tool, to measuring risk?
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.
What is the role of the Insurance Ombudsman in India?
Which of the following would have the primary responsibility of understanding the risks run by the bank and ensuring that the risks are appropriately ma...
Which ratios are a measure of the speed with which various accounts are converted into sales or cash?
An investment fund that is traded on an exchange is known as
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___________ Constitution Amendment Act, 2018 provides constitutional status to the National Commission for Backward Classes (NCBC).
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