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Question 95/145
Alpha Bank estimates its 1-month, 95% VaR is 30 million EUR. This means that in the next month, there is a
Correct Answer: C
Value at Risk (VaR) at a 95% confidence level indicates that there is a 95% probability that the loss will not exceed the specified amount (30 million EUR) over a given period (1 month in this case). Conversely, there is a 5% chance that the loss could exceed this amount.
References:
* Explanation from standard VaR concepts and financial risk management practices.
References:
* Explanation from standard VaR concepts and financial risk management practices.
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