alleryStart learning →In the three-regime system, which loss range is the domain of stress testing?
ABelow one times VaR
BOne to three times VaR
CThree to ten times VaR
DAbove a hundred times VaR
Answer & Solution
Correct answer: C. Three to ten times VaR
Losses of three to ten times VaR come from rare events whose probabilities cannot be estimated, so they are handled by stress testing.
Keep practising Risk Management
Browse all Risk Management questions for CA Final, or explore more Strategicfinancialmanagement topics.
Related questions
What does an option give its buyer?Which contract is standardized in terms of asset, quantity, price and date?An investor holds a stock and buys an option to sell it at a set price. What is the cost oWhat is hedging?What went wrong with diversification in the late-2000s recession?Diversification benefits increase when the correlation between assets is what?Who initiated modern portfolio theory in 1952 with the thesis "Portfolio Selection"?In modern portfolio theory, how is the risk of a portfolio defined?