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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Definitions:

Company Retirement

Often related to the benefits or pension schemes planned for employees after they retire from a company, differing from mandatory retirement policies.

Savings Programs

Financial plans or accounts that encourage saving by offering interest or other benefits.

Neoclassical Models

Economic models based on the principles of neoclassical economics that emphasize rational behavior, supply and demand equilibrium, and the efficiency of markets.

Behavioral Economics

A field of economics that studies how psychological, cognitive, emotional, cultural, and social factors affect the economic decisions of individuals and institutions.