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A 5% VaR of $1.5 million over a 1-week period implies that:
$1.5
A
there is a 5% chance of losing $1.5 million over one week.
B
$1.5 million is the minimum loss expected over one week 95% of the time.
C
a loss of more than $1.5 million over one week is expected 5% of the time.
