Question

Value at Risk for a given risky portfolio is defined as: The underlying volatility of the...

Value at Risk for a given risky portfolio is defined as:

The underlying volatility of the equity portfolio.

The maximum loss that can be experienced in the risky portfolio over a specified holding period.

The worst case loss that can be experienced in the risky portfolio given a certain level of probability.

The regulatory capital needed to cover the underlying risk in the equity portfolio.

None of the above.

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Answer : maximum loss that can be experienced in the risky portfolio over a specified holding period.

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