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Which statements is an accurate description of var

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Reference no: EM13505675

Worse-than-VAR scenarios are defined as scenarios that lead to losses in the extreme left tail of the return distribution equal to or exceeding VAR at a given level of confidence. Which of the following statements is an accurate description of VAR?

A. VAR is the average of the worse-than-VAR scenario returns.
B. VAR is the standard deviation of the worse-than-VAR scenario returns.
C. VAR is the most pessimistic scenario return (maximum loss) from the worse-than-VAR scenarios.
D. VAR is the most optimistic scenario return (minimum loss) from the worse-than-VAR scenarios.

Reference no: EM13505675

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