CMT Level III Practice Questions - CMT Program Level III Exam

Value at Risk (VaR) at the 95% confidence level for a one-day horizon tells a technician that:

The portfolio will never lose more than the VaR figure The average daily loss equals the VaR figure Losses are expected to exceed the VaR figure on about 5% of days The maximum possible loss equals the VaR figure

Correct Answer:

Losses are expected to exceed the VaR figure on about 5% of days

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