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Part II
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Market Risk Measurement and Management
Market Risk Measurement and Management
Easy
A risk manager computes 99% VaR using historical simulation with a 500-day window. The portfolio P&Ls are sorted from worst to best. The 99% VaR corresponds to which observation in the sorted list?
A
The 5th worst loss
B
The 1st worst loss
C
The 50th worst loss
D
The 495th worst loss
Select an answer to continue
Tags
#historical-simulation
#var-calculation
#non-parametric
#quantile
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