The 10-Q report of Global Bank states that the monthly VaR of ABC Bank is $10 million at a 95% confidence level. What is the proper interpretation of this statement?
AIf we collect 100 monthly gain/loss data of Global Bank, we will always see five months with losses larger than $10m.
BThere is a 5% probability that the bank will gain less than $10m each month.
CThere is a 95% probability that the bank will lose less than $10m over a month.
DThere is a 5% probability that the bank will lose less than $10m over a month.
还没有找到合适的FRM课程？赶快联系学管老师，让老师马上联系您！ 融跃FRM培训课程 ，高通过省时省心！