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.
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