Question

Which one of the following correctly states the VaR for a 3-year period with a 2.5 percent probability?

a) Prob[Rp, I E(Rp) x 3 - 1.960 x Op V3]
b) Prob[Rp, I S E(Rp) x 13 - 1.645 x Op 3]
c) Prob[Rp, T = E(Rp) x V3 - 1.960 x Op 3]

Answer 1

A: Prob[Rp, I E(Rp) x 3 - 1.960 x Op V3]

Explanation:

Answer 2

Answer: Option A

Prob[Rp,T ≤ E(Rp) × 3 - 1.960 × σp √3]

Explanation:

It should be noted that, the VaR for a 3-year period with a 2.5 percent probability is Prob[Rp,T ≤ E(Rp) × 3 - 1.960 × σp √3]. Therefore, option A only is correct while other options are wrong