NO.PZ2016072602000008
问题如下：
Suppose you are given the following information about the operational risk losses at your bank. What is the estimate of the VAR at the 95 % confidence level, including expected loss (EL)?
选项：
A.
USD 100,000
B.
USD 101,000
C.
USD 200,000
D.
USD 110,000
解释：
A is correct.
Because VAR should include EL, there is no need to compute EL separately. The table shows that the smallest loss such that the cumulative probability is 95% or more is $100,000.
一般情况下算OR的VaR是不算EL的，但是这个题里面说了要包括EL，为什么不减去？
