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Exit VCEDump 2016-FRR Financial Risk and Regulation (FRR) Series

Q40 Single choice

Bank G has a 1-year VaR of USD 20 million at 99% confidence level while bank H has a 1-year VaR of USD 10 million at 95% confidence level.

Which bank is in a more risky position as measured by VaR?

A
Bank G is taking twice the risk of bank H as measured by VaR.
B
Bank H is taking twice the risk of bank G as measured by VaR.
C
Since the confidence levels are not the same we cannot make any conclusions.
D
Both banks are equally risky since the measurements are with the same confidence level.

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2016-FRR Web TestEngine demo