alleryStart learning →Under the three-regime system, losses of one to three times VaR are treated how?
AImpossible events
BNormal occurrences
CGrounds to close the firm
DEvents needing insurance
Answer & Solution
Correct answer: B. Normal occurrences
One to three times VaR losses are normal occurrences, as periodic VaR breaks are expected with fat-tailed loss distributions.
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