Which One of the Following Correctly States the VaR for a 3-Year

question 77

Multiple Choice

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

• A)Prob[R_p,T ≤ E(R_p)× 3 − 1.645 × σ_p √3]
• B)Prob[R_p,T ≤ E(R_p)× √3 − 1.645 × σ_p 3]
• C)Prob[R_p,T ≤ E(R_p)× √3 − 1.645 × σ_p √3]
• D)Prob[R_p,T ≤ E(R_p)× 3 − 1.960 × σ_p √3]
• E)Prob[R_p,T ≤ E(R_p)× √3 − 1.960 × σ_p 3]

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Definitions:

Board Meeting

A formal gathering of the board of directors of an organization, company, or corporation to discuss and decide on company policy and management issues.

Liable

Being legally responsible or obligated.

Sarbanes-Oxley Act

A U.S. federal law that aims to protect investors by making corporate disclosures more reliable and accurate, enhancing financial transparency and accountability.

Audit Committee

A subcommittee of a company's board of directors responsible for overseeing financial reporting, audit processes, and compliance with laws and regulations.