Which One of the Following Is the Primary Purpose of the Value-At-Risk

question 90

Multiple Choice

Which one of the following is the primary purpose of the Value-at-Risk computation?

• A)determine the 99% probability range given an abnormal distribution
• B)evaluate the risk-return tradeoff for a given mix of securities
• C)evaluate the probability of a significant loss
• D)determine the portfolio that maximizes the risk premium per unit of total risk
• E)determine the portfolio that maximizes the excess return per unit of systematic risk

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Definitions:

T Distribution

A family of probability distributions that can be used to develop an interval estimate of a population mean whenever the population standard deviation s is unknown and is estimated by the sample standard deviation s.

Variance

A measure of the spread between numbers in a data set, indicating how much the numbers differ from the mean.

Independent Samples

Samples drawn from different populations without any pairing or matching between the samples.

Normal Distribution

A distribution of probability that reflects symmetry around the mean, illustrating that occurrences near the mean are more common than those further away from it.