This questions deals with the appropriate levels of the holding period and confidence levels for VaR estimates. These depend upon the use the VaR estimate is intended to be put to - so when calculating VaR levels for capital requirements, or for maintaining credit ratings, very high levels of confidence are generally used. On the contrary, when setting limits or validating a model, a few excess loss situations are not only acceptable but actually desirable, and therefore lower levels of confidence are used.When it comes to the holding period, that may be mandated, as it is under Basel II as being a 10 day period. For other cases, it may be a horizon roughly corresponding to a period in which positions may be liquidated in an orderly day, which could be just one day for highly liquid markets, or a week or more for larger positions in illiquid markets.Therefore statements I and III are true and the others are false. Therefore the only correct answer is Choice 'b'.