Solution-What is the proper interpretation of this statement

What is the proper interpretation of this statement

Reference no: EM13505671

The 10-Q report of ABC Bank states that the monthly VAR of ABC Bank is USD 10 million at 95% confidence level. What is the proper interpretation of this statement?

A. If we collect 100 monthly gain/loss data of ABC Bank, we will always see five months with losses larger than $10m.
B. There is a 95% probability that the bank will lose less than $10m over a month.
C. There is a 5% probability that the bank will gain less than $10m each month.
D. There is a 5% probability that the bank will lose less than $10m over a month.

Reference no: EM13505671

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What is the proper interpretation of this statement

Reference no: EM13505671

Reference no: EM13505671

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