Your staff has determined that your 95% daily VaR model is perfectly accurate: on any given day, the probability that the loss exceeds VaR is 5%. What is the probability that next month, which has 20 trading days, VaR will be exceeded on two days or less?
Your staff has determined that your 95% daily VaR model is perfectly accurate: on any given day, the probability that the loss exceeds VaR is 5%. What is the probability that next month, which has 20 trading days, VaR will be exceeded on two days or less? A.86.47%; B.91.97%; C.92.45%; D.99.99%