You Have Computed the Expected Return Using VaR with a 2.5

Multiple Choice

You have computed the expected return using VaR with a 2.5% probability for a 1-year period. How would this expected return be expressed on a normal distribution curve?

A) lower tail starting at the point that is 2.5 standard deviations below the mean
B) lower tail of a 95% probability range
C) the point that corresponds to 2.5 standard deviations below the mean
D) the point that represents the lower end of the 90% probability range
E) the negative range that lies within 2.5 standard deviations of the mean