B IS CORRECT. A 16% VAR IS A MOVE OF ONE STANDARD DEVIATION BELOW T...

2. B is correct. A 16% VaR is a move of one standard deviation below the expected value. A is

incorrect because a 5% VaR is equal to a move of 1.65 standard deviations below the

expected value assuming normal distribution. C is incorrect because a higher confidence

level results in a higher VaR. Section 2.1. LO.a.