PRMIA 8008 Question Answer
A statement in the annual report of a bank states that the 10-day VaR at the 95% level of confidence at the end of the year is $253m. Which of the following is true:
I. The maximum loss that the bank is exposed to over a 10-day period is $253m.
II. There is a 5% probability that the bank's losses will not exceed $253m
III. The maximum loss in value that is expected to be equaled or exceeded only 5% of the time is $253m
IV. The bank's regulatory capital assets are equal to $253m
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