CAIA - Chartered Alternative Investment Analyst Association Practice Test
CAIA CAIA Risk Management
Value at Risk (VaR) at the 95% confidence level over a 1-day horizon means:
Select your answer
A
The portfolio will lose exactly this amount on 95% of trading days
B
Losses will not exceed this amount on 95% of trading days, or equivalently will exceed it on 5% of days
C
The maximum possible loss over any 1-day period
D
The expected loss given that a loss event occurs
Hint
