ERM Spring 2018 - Question 5

📝erm-2018-spring

#1

q5a
q5b
q5c

View Solution

q5a
q5b
q5c
q5d
q5e
q5f
q5g

Difficulty Rating (1=Very Easy, 10=Extremely Difficult):

  • 1
  • 2
  • 3
  • 4
  • 5
  • 6
  • 7
  • 8
  • 9
  • 10

0 voters

Previous Question | Next Question


#2

Can someone explain to me the use of Absolute VAR in this question ? I thought absolute var … according to Value at Risk Ch. 5 was VaR - mean.

Please let me know!


#3

Hi @smoore29

Actually, absolute VaR refers to the percentile with respect to 0… so percentile - 0. Relative VaR is the one that compares the percentile to the mean.