Hugo Nelson is preparing a presentation on the attributes of value at rish. 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(1%) can be interpreted as the number of days that a loss in portfolio value will exceed 1%.

C. VAR was developed in order to more closely represent the economic capital necessary to ensure commercial bank solvency.

D. VAR(10%) = $0 indicates a positive dollar return is likely to occur on 90 out of 100 days.