Which of the following statements is true?
A)VaR corresponds to a specific point of loss on the probability distribution.It does not provide information about the potential size of the loss that exceeds it.
B)VaR completely ignores the patterns and the severity of the losses in the extreme tail.
C)VaR gives only partial information about the extent of possible losses, particularly when probability distributions are non-normal.
D)All of the listed options are correct.

Question

Quizplus · Accepted Answer

All the statements about Value at Risk (VaR) are correct. VaR specifies a point on the loss distribution but does not describe the size of losses beyond that point, does not account for the pattern or severity of extreme losses, and provides limited information on potential losses, especially with non-normal distributions.

Which of the Following Statements Is True