5 Questions
Which of the following is a feature of Value-at-Risk (VaR) as a risk metric?
Applies to all activities and types of risk
What does a downside/quantile risk metric focus on?
Returns falling short of a target return
What is the definition of the α-quantile of a continuous random variable X?
The value of X below which α% of the distribution falls
What is the range of α for the α-quantile of a continuous random variable X?
0 to 1
What does VaR measure in terms of risk factor sensitivities?
The risk of the risk factors
Test your knowledge of Value-at-Risk (VaR) models with this quiz. Learn about the features and interpretations of VaR as a risk metric, and how it can be compared across different markets and exposures. Measure your understanding of VaR and its application in assessing portfolio risk.
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