If the daily 90% confidence level VaR of a portfolio is correctly estimated to be USD 5,000.00, one would expect that:

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Options

• Ain 1 out of 10 days, the portfolio value will decline by USD 5,000.00 or less.
• Bin 1 out of 90 days, the portfolio value will decline by USD 5,000.00 or less.
• Cin 1 out of 10 days, the portfolio value will decline by USD 5,000.00 or more.
• Din 1 out of 90 days, the portfolio value will decline by USD 5,000.00 or more.

• A
  11% (3)
• B
  7% (2)
• C
  78% (21)
• D
  4% (1)

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