SECTION 3.3.1. LO.I. SECTION 3.3.1. LO.I.

2. The VaR of $15 million at 5% for one month most likely means:

A. There is a 5% chance of losing $15 million over one month.

B. There is a 95% chance that the expected loss over the next month is less than $15 million.

C. The minimum loss that would be expected to occur over one month 5% of the time is $15

million.