If the Value at Risk $($VaR$)$ for a portfolio is calculated to be $$5$ million at a $95\%$ confidence level, this implies:

Question $17$Answer

a$.$

There is a $95\%$ chance that the portfolio will lose exactly $$5$ million.

b$.$

The portfolio will not lose more than $$5$ million in $95\%$ of the cases.

c$.$

There is a $5\%$ chance that the portfolio will lose more than $$5$ million over the specified period.

d$.$

The portfolio will definitely lose $$5$ million in $95\%$ of the cases.