Value at Risk: The Fund has a one-day 95% value at risk (VaR) of $6.5 million.
Which of the following statements regarding the VaR of the Fund is correct?
A) The expected maximum loss for the portfolio is $6.5 million. B) Five percent of the time, the portfolio can be expected to experience a loss of at least $6.5 million. C) Ninety-five percent of the time, the portfolio can be expected to experience a one-day loss of no more than $6.5 million.
I really do not see how any of the above are the answers but the indicated answer is B.
If the question stated The Fund has a one-day 5% value at risk (VaR) of $6.5 million I could see how this would be the case? Any idea?