Question #16
Reading: Reading 37 Measuring and Managing Market Risk
PDF File: Reading 37 Measuring and Managing Market Risk.pdf
Page: 6
Status: Correct
Correct Answer: A
Question
Conditional VaR is most accurately measured as:
Answer Choices:
A. Average VaR in the tails of the return distribution
B. Average VaR given that losses to the extent of VaR has occurred
C. Average VaR in the tails of the value distribution
Explanation
Conditional VaR is the average loss conditional on exceeding the VaR cutoff. It is the
average Var in the left tail of the return distribution.