Please ignore answer chosen its wrong Thanks what is the cor

Please ignore answer chosen, it\'s wrong. Thanks

what is the correct interpretation of a $10 million overnight VAR figure with 95% confidence level? The institution 1) Can be expected to lose at most $10 million in 5 out of next 100 days 2) Can be expected to lose at least $10 million in 95 out of next 100 days 3) Can be expected to lose at least $10 million in 5 out of next 100 days 4) Can be expected to lose at most $10 million in 2 out of next 100 days

Solution

What is the correct interpretation of a $10 million overnight VAR figure with 95% confidence level? The institution

CORRECT ANSWER : 3) : can be expected to lose at least $10 million in 5 out of next 100 days

VaR is defined as the maximum loss over a target horizon such that there is a low, prespecified probability that the actual loss will be larger. so the above answer is only correct option