考点

问题如下：

Following the investment committee’s approval, Patterson references the updated risk management policy in her quarterly letter to investors. She states: “At Citadel, we take risk management very seriously. In response to recent investor concerns about volatility in our multi-asset fund, we have implemented a new policy. We limit fund losses to 2% of assets with a 99% level of confidence, with additional measures to limit total losses to 3% over a rolling 30-dayperiod.”

Patterson’s comments to Citadel’s investors are least likely accurate with regard to her:

选项：

A.

use of confidence levels.

B.

discussion of limiting losses.

C.

implied percentage declines from dollar VaR limits.

解释：

VaR is an expression of a minimum loss. It is incorrect for Patterson to state that the policy will limit fund losses to 2% ($10 million ÷ $500 million) over a 5-dayperiod. In practice, the maximum loss possible in an unleveraged portfolio is the entire value of the portfolio.