Question 7 from Wiley Mock 95% VAR

CFA Level III Derivatives
#1

Question 7 from Wiley Mock asks for the 95% VAR, but then computes the 5% VAR. Is it common to use 95% as a term to refer to 5% VAR. That is, for exam purposes, can we assume that both are equivalent.

Since the definition of the VAR is, what amount of loss will be exceeded 5%(1% or x%) of the time over certain time period, I thought that when the question asks about 95% VAR, it wants to know what amount of loss will be exceeded in 95% of the time.

#2

Whether they ask for 95% or 5%, the calculation will be the same, but the interpretation is different.

5% VaR would be interpreted as: 5% of the time I expect to lose at least $10m --> min loss

95% VaR would be interpreted as: 95% of the time I expect to lose less than $10m --> max loss

#3

I see, thanks for the explanation.