1)What is the critical value (based on the T-table) at 95% significance level? Select one: a.2.33 b.1.646 c.1.645 d.Not obtainable without additional information

2) Which interpretation is true for VaR = 20% at 99% significance level Select one: a.There is a 1 in 10 chance that the loss will be greater than 20% b.There is a 1 in 100 chance that the loss will be greater than 20% c.There is a 1 in 100 chance that the loss will be 20% d.There is a 1 in 10 chance that the loss will be 20%

3) VaR can be estimated on portfolios as well as single assets. Select one: True False

4) Which of the following statement is true of a covariance matrix? Select one a.The diagonal values are volatilities b.The non-diagonal values are covariances c.The non-diagonal values are coefficients of variations d.none of the above

5) Which of the following is false of the historical VaR? Select one: a. It is based on normal distribution of returns b. It does not make use of Monte Carlo simulations c. It assumes no underlying distribution of returns.