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What is Value at Risk (VaR)?

  1. A The maximum expected loss over a period at a given confidence level
  2. B The average expected loss
  3. C The worst possible loss
  4. D The volatility of returns
Answer

The maximum expected loss over a period at a given confidence level

VaR says nothing about the size of losses beyond the threshold, which is why expected shortfall is often reported alongside it.

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