A Value at Risk $($VaR$)$ measure at the $97\mathrm{.}5\%$ confidence level means:

a$.$

The portfolio is completely safe from any loss $97\mathrm{.}5\%$ of the time.

b$.$

There is a $97\mathrm{.}5\%$ chance of incurring a loss greater than the VaR.

c$.$

The maximum loss will not exceed the VaR amount in $97\mathrm{.}5\%$ of cases.

d$.$

The loss will exceed the VaR amount in $2\mathrm{.}5\%$ of cases.