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Hugo Nelson is preparing a presentation on the attributes of value at risk. Which of Nelson’s following statements is not correct? A. VAR can account for the diversified holdings of a financial institution, reducing capital requirements. B. VAR(10%) = $0 indicates a positive dollar return is likely to occur on 90 out of 100 days. C. VAR(1%) can be interpreted as the number of days that a loss in portfolio value will exceed 1%. D. VAR was developed in order to more closely represent the economic capital necessary to ensure commercial bank solvency. |