A 5% 3-month Value At Risk (VaR) of $1 million represents: A 5% chance of the asset
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Question:
A 5% 3-month Value At Risk (VaR) of $1 million represents:
A 5% chance of the asset increasing in value by $1 million during the 3-month time frame.
The likelihood of a 5% of $1 million decline in the asset over the next 3-month.
A 5% chance of the asset declining in value by $1 million during the 3-month time frame.
A 5% decline in the value of the asset after 3 month, per each $1 million of notional.
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