FRM Practice Test
FRM FRM Market Risk
What does Value at Risk (VaR) measure at a 95% confidence level over a 1-day horizon?
Select your answer
A
The maximum loss not exceeded with 95% probability over one day
B
The expected loss averaged over 95 trading days
C
The minimum gain expected with 95% probability
D
The average loss over the worst 5% of trading days
Hint
