You are in the risk management department at ABC Bank. You are responsible for producing the VaR(1, 95%) that covers all of the banks currency traders. Explain why your boss would be unhappy if your Value-at-Risk (VaR) estimates were exceeded only 2% of the time. Also explain why your boss would be displeased if your VaR estimates were exceeded 8% of the time. Which would you consider to be a more concerning mistake?

You are in the risk management department at ABC Bank. You are responsible for producing the VaR(1, 95%) that covers all of the banks currency traders. Explain why your boss would be unhappy if your Value-at-Risk (VaR) estimates were exceeded only 2% of the time. Also explain why your boss would be displeased if your VaR estimates were exceeded 8% of the time. Which would you consider to be a more concerning mistake?

Business/Professional Ethics Directors/Executives/Acct

8th Edition

ISBN:9781337485913

Author:BROOKS

Publisher:BROOKS

Chapter8: Subprime Lending Fiasco-ethics Issues

Section: Chapter Questions

Problem 7.2EC

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