Which of the following statements regarding the VaR of Fund X is correct (given the info that 1-day 95% VaR is 6.5 mil)?
A. The expected maximum loss for the portfolio is $6.5 mil.
B. 5% of the time, the portfolio can be expected to experience a loss of at least 6.5 mil.
C. 95% of the time, the portfolio can be expected to experience a one-day loss of no more than 6.5 mil.
B is correct. It seems to me the statement does not specify the frequency of the loss, so someone may argue that the 6.5 mil figure is too small if examined on a monthly, quarterly, or yearly basis. I do concede that A and C are wrong tho.