Anyone who could explain me why answer C is wrong?
The Index Plus Fund has a one-day 95% value at risk (VaR) of $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 knew that for example with a 95% confidence level the VaR is X then:
95% of the time the max loss is X or
5% of the time the min loss is X