SSEI Question 4. A. An organization's risk management function has computed that a portfolio held in one business unit has a 1 percent weekly value at risk (VAR) of $4.25 million. Describe what is meant in terms of a minimum loss. B. The portfolio of another business unit has a 99 percent weekly VAR of E4.25 million (stated using a confidence limit approach). Describe what is meant in terms of a maximum loss. Question 5. An organization's 5 percent daily VAR shows a number fairly consistently around $3 million. A backtest of the calculation reveals that, as expected under the calculation, daily portfolio losses in excess of E3 million tend to occur about once a month. When such losses do occur, however, they typically are more than double the VAR estimate. The portfolio contains a very large short options position. A. Is the VAR calculation accurate? B. How can the VAR figure best be interpreted? C. What additional measures might the organization take to increase the accuracy of its overall exposure assessments? Question 6. What are the two types of sovereign debt rated by ratings agencies? Question 7. What is reverse stress testing