You Invest $100 in a Corporate Bond

Multiple Choice

You invest $100 in a corporate bond.You estimate that with probability 0.95,the corporation will pay back the promised amount of $110 at the end of one year;with probability 0.04,the corporation will default and the recovered amount will be $70;and with probability 0.01,the corporation will default and you will recover nothing.The 98%-VaR in this scenario is

A) $30
B) $40
C) $70
D) $100