alleryStart learning →A portfolio has a one-day 5% VaR of Rs 10 lakh. What does this mean?
AIt loses exactly Rs 10 lakh a day
BIt can never lose over Rs 10 lakh
CA 5% chance of losing Rs 10 lakh or more
DA 95% chance of losing Rs 10 lakh
Answer & Solution
Correct answer: C. A 5% chance of losing Rs 10 lakh or more
A 5% one-day VaR means a loss at or beyond that amount has a 0.05 probability over one day, with no trading in the portfolio.
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