Explanation

Value at Risk (VaR) at 95% confidence level means that there is a 5% probability that losses will exceed the VaR amount. Therefore:

• Option A is incorrect: The daily loss will exceed $1 million only 5% of the time (not 95%)
• Option B is correct: The daily loss will not exceed $1 million 95% of the time
• Option C is incorrect: VaR is not the maximum possible loss; it's a probabilistic measure where losses can exceed VaR in extreme cases
• Option D is incorrect: VaR is a statistical measure, not a consensus among risk managers

Key Concept: VaR at 95% confidence means we expect losses to stay below the VaR amount 95% of the time, and exceed it only 5% of the time.