Which of the following is true of the 99.9% value at risk?
A. There is 1 chance in 10 that the loss will be greater than the value of risk
B. There is 1 chance in 100 that the loss will be greater than the value of risk
C. There is 1 chance in 1000 that the loss will be greater than the value of risk
D. None of the above
C
A 99.9% VaR means that there is a 0.1% chance of the loss exceeding the VaR level. This is 1 chance in 1000.
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