A portfolio has a 2.0 percent chance of losing 15 percent or more according to the VaR when T = 1.This can be interpreted to mean that the portfolio is expected to have an annual loss of 15 percent or more once in every how many years?
A) 1.0
B) 2.0
C) 25
D) 50
E) 100

Question

Quizplus · Accepted Answer

The 2.0 percent chance of losing 15 percent or more implies that such a loss is expected to occur once in every 50 years (1/0.02 = 50).

A Portfolio Has a 2