'1-day VaR at 1% probability = $5 million' is equivalent to any of the following statements...

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'1-day VaR at 1% probability = $5 million' is equivalent to any of the following statements...

'1-day VaR at 1% probability = $5 million' is equivalent to any of the following statements with the EXCEPTION of which statement?

A. Our portfolio will have a one-day loss that exceeds $5 million in 1% of the trading days

B. There is a 1% chance that our portfolio will lose less than $5 million in one trading day

C. Our portfolio will have a one-day loss of less than $5 million in 99% of the trading days

D. Our portfolio will lose more than $5 million in 1 out of every 100 trading days

E. There is a 99% chance that our portfolio will lose less than $5 million in one trading day

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Answer 1

Answer #1

Option B

There is a 1% chance that our portfolio will lose less than $5 million in one trading day

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Answer 2

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'1-day VaR at 1% probability = $5 million' is equivalent to any of the following statements...

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'1-day VaR at 1% probability = $5 million' is equivalent to any of the following statements...

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