备考FRM二级考试，需要对风险价值属性熟练掌握。下文是对关于风险价值属性的例题解析，一起了解一下！

Hugo Nelson is preparing a presentation on the attributes of value at risk. Which of Nelson’s following statements is not correct?》》》2021年新版FRM一二级内部资料免·费领取！【精华版】

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(A) VaR can account for the diversified holdings of a financial institution,reducing capital requirements.

(B) VaR(10%) = $0 indicates a positive dollar return is likely to occur on 90 out of 100 days.

(C) VaR(1%) can be interpreted as the number of days that a loss in portfolio value will exceed 1%.

(D) VaR was developed in order to more closely represent the economic capital necessary to ensure commercial bank solvency.

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雨果·尼尔森正在准备一份关于风险价值属性的报告。尼尔森的下列哪项陈述是不正确的？

（A） VaR可以解释金融机构持有的多样化资产，降低资本要求。

（B） VaR（10%）=$0表示美元正收益可能出现在100天中的90天。

（C） VaR（1%）可以解释为投资组合价值损失超过1%的天数。

（D） VaR是为了更紧密地代表商业银行偿付能力所必需的经济资本而发展起来的。

答案：C 》》》点击咨询FRM特惠课程

解析：VAR is defined as the dollar or percentage loss in portfolio value that will be exceeded only X% of the time. VAR(10%) = $0 indicates that there is a 10% probability that on any given day the dollar loss will be greater than $0.Alternatively, we can say there is a 90% probability that on any given day the dollar gain will be greater than $0. VAR was developed by commercial banks to provide a more accurate measure of their economic capital requirements, taking into account the effects of diversification.

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