What is the correct interpretation of a EUR 5,000,000.00 one-week VaR figure with a 99% confidence level?
A) A loss of at least EUR 5,000,000.00 can be expected in 99 out of the next 100 weeks.
B) A loss of at most EUR 5,000,000.00 can be expected in 1 out of the next 100 weeks.
C) A loss of at most EUR 5,000,000.00 can be expected in 1 out of the next 100 days.
D) A loss of at least EUR 5,000,000.00 can be expected in 1 out of the next 100 weeks.

Question

Quizplus · Accepted Answer

A one-week VaR of EUR 5,000,000.00 at a 99% confidence level means that there is a 1% chance of a loss of at least EUR 5,000,000.00 in one out of the next 100 weeks.

What Is the Correct Interpretation of a EUR 5,000,000