Which of the following statements about value at risk (VAR) is TRUE?
　　A. VAR decreases with longer holding periods.
　　B. VAR decreases with lower confidence level.
　　C. VAR is not dependent on the choice of holding period.
　　D. VAR is independent of probability level.
　　Answer:B
　　VAR measures the amount of loss in the left tail of the distribution and increases with lower probability levels. Conversely VAR decreases with lower confidence levels (which is 1 minus the probability level). VAR actually increases with increases in holding period.