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Q-64. A risk manager states that the VaR of the portfolio at 95% confidence interval and 1-day holding period is $1 million. Which of the following statement is TRUE?
A
The daily loss on the portfolio will exceed $1 million 95% of time.
B
The daily loss on the portfolio will not exceed $1 million 95% of time.
C
The maximum loss that the portfolio can incur is $1 million at any point in time.
D
95% of risk managers will agree that the maximum loss on the portfolio will be $1 million.
