alleryStart learning →Which pair of tail probabilities are the most common VaR parameters?
A10% and 20%
B25% and 50%
C0.1% and 0.5%
D1% and 5%
Answer & Solution
Correct answer: D. 1% and 5%
VaR is most commonly quoted at tail probabilities of 1% and 5%, often over one day or two weeks.
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