For a bank a 1-year VaR of USD 10 million at 95% confidence level means that:

For a bank a 1-year VaR of USD 10 million at 95% confidence level means that:
A . There is a 5% chance that the bank would lose less than USD 10 million in a year.
B . There is a 5% chance that the bank would lose more than USD 10 million in a year.
C . There is a 5% chance that the worst loss would be USD 10 million in a year.
D . There is a 5% chance that the least loss would be USD 10 million in a year.

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Answer: B

Explanation:

Value at Risk (VaR) at a 95% confidence level means that there is a 95% chance that the bank’s losses will not exceed USD 10 million in a year. Conversely, this implies that there is a 5% chance that the bank’s losses will exceed USD 10 million in a year.