ACI Dealing Certificate (#390)

If the daily 90% confidence level VaR of a portfolio is correctly estimated to be USD 5,000.00, one would expect that:

in 1 out of 10 days, the portfolio value will decline by USD 5,000.00 or less.
in 1 out of 90 days, the portfolio value will decline by USD 5,000.00 or less.
in 1 out of 10 days, the portfolio value will decline by USD 5,000.00 or more.
in 1 out of 90 days, the portfolio value will decline by USD 5,000.00 or more.