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Risk Management — VaR, Stress Testing, and Defensive Discipline — Quiz

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We've shown 2 questions below as a teaser. 6 more questions unlock with a free account, plus instant grading, explanations citing the module section, and a certificate when you pass.

Question 1 (teaser)

Value at Risk (VaR) at 95% confidence over 1 day means:

1. You will lose at least this much every day 2. You are 95% likely to lose less than VaR over 1 day; equivalently, 5% of days you lose more 3. Your maximum loss 4. Your expected return

Question 2 (teaser)

Conditional VaR (CVaR / Expected Shortfall) addresses what limitation of VaR?

1. It is harder to compute 2. VaR tells you nothing about how bad losses are when they exceed VaR; CVaR is the expected loss given we are in the worst-X% scenarios 3. CVaR uses different time horizon 4. CVaR is illegal