Which of the Following Is NOT True About Value-At-Risk (VAR) $\alpha$

question 10

Multiple Choice

Which of the following is NOT true about value-at-risk (VAR) ?

• A) VAR penalizes diversification for some asset/liability portfolios.
• B) VAR should be the sole measure used to quantify a firm's insolvency risk.
• C) VAR ignores losses greater than the VAR \(\alpha\)-percentage level.
• D) VAR is computed using the equity's loss distribution.
• E) VAR measures the firm's insolvency risk.

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