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Melvin Brown manages a long portfolio of debt and equity investments for an insurance company and has been trying to implement a new risk management program based on estimating and reporting the daily value at risk (VaR) for each manager’s portfolio. Brown is writing a report to gain support for his proposal. If Brown determines that daily VaR (10%) for his portfolio is equal to $20,000,which of the following statements should he including in his report?

A) Computationally, delta-normal VaR is more complex than standard deviation but easier to interpret from a risk management perspective.

B) VaR was developed specifically for the purpose of measuring the economic capital required to protect bank portfolios against losses.

C) The risk of losing more than $20,000 in Brown’s portfolio value in any given week is 10%.

D) Portfolio diversification is not fully accounted for using the VaR methodology.

答案：B【资料下载】[融跃财经]FRM一级ya题-pdf版

解析：VaR was developed as a way for banks to track the economic capital requirements while taking into account the effects of diversification on the risk of the portfolio. Delta-normal VaR is computationally simpler than portfolio standard deviation. The correct interpretation of Brown’s daily VaR(10%) is that there is a 10% chance that on any given day, the portfolio will lose more than $20,000 in value.

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