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Which one of the following correctly states the VaR for a 3-year period with a 2.5 percent probability?
a) Prob[Rp, I E(Rp) x 3 - 1.960 x Op V3]
b) Prob[Rp, I S E(Rp) x 13 - 1.645 x Op 3]
c) Prob[Rp, T = E(Rp) x V3 - 1.960 x Op 3]

Respuesta :

Answer: Option A

Prob[Rp,T ≤ E(Rp) × 3 - 1.960 × σp √3]

Step-by-step explanation:

It should be noted that, the VaR for a 3-year period with a 2.5 percent probability is Prob[Rp,T ≤ E(Rp) × 3 - 1.960 × σp √3]. Therefore, option A only is correct while other options are wrong

1TogaHimiko1

Answer:

A: Prob[Rp, I E(Rp) x 3 - 1.960 x Op V3]

Step-by-step explanation:

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