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Which of the following statements regarding value at risk (VaR) and expected shortfall (ES) is least accurate?

A) The ES provides an estimate of the tail loss by averaging the VaRs for increasing confidence levels in the tail.

B) The calculation of lognormal VaR and normal VaR will be similar when dealing with long-time periods.

C) As the number of VaR observations increases, the ES will increase.

D) The calculated VaR amount is always negative.

答案：B

解析：VaR is always negative, but is typically reported as a positive value since the negative amount is implied.As the number of VaR observations increases, the ES increases and approaches the theoretical true loss.

Which of the following method is not coherent measures?

A) VaR

B) Expected Shortfall

C) Conditional VaR

D) None of the above

答案：A

解析：ES and conditional VaR are roughly synonymous. VaR is not coherent.扫码领取

The profit/loss distribution for Morozov Inc. is normally distributed with an annual mean of $20 million and a standard deviation of $13 million. Which of the following amounts is closest to VaR at the 99% confidence level using a parametric approach?

A) $10.29 million.

B) $13.54 million.

C) $5.48 million.

D) $1.45 million.

答案：A

解析：VaR = |20–2.33*13| = 10.29

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