What is the correct interpretation of a EUR 2,000,000.00 overnight VaR figure with a 97% confidence level?

Question

Options

• AA loss of at least EUR 2,000,000.00 can be expected in 97 out of the next 100 days.
• BA loss of at most EUR 2,000,000.00 can be expected in 3 out of the next 100 days.
• CA loss of at least EUR 2,000,000.00 can be expected in 3 out of the next 100 days.
• DA loss of at most EUR 2,000,000.00 can be expected in 6 out of the next 100 days.

• A
  5% (2)
• B
  3% (1)
• C
  80% (32)
• D
  13% (5)

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