Please help to explain the answer
If the one-day value at risk of a portfolio is $50,000 at a 95 percent probability level, this means that we should expect that in one day out of:
A)20 days, the portfolio will decline by $50,000 or less.
B)95 days, the portfolio will lose $50,000.
C)20 days, the portfolio will decline by $50,000 or more.
Correct Answer: A
Reason given: This means that 5 out of 100 (or one out of 20) days, the value of the portfolio will experience a loss of $50,000 or more.
My understanding of VAR is that for the problem is, In a given day, there is 95% probability that we will lose a minimum of $50,000. How can we say that it is 1 out of 20 days? Please help. @alta12