Which of the following statements about Value at Risk (VaR) is false?

Group of answer choices

A. Use of the equation VaR = zW to find VaR requires that the portfolio return be normally distributed.

B. Back-testing involves looking at the number of times the estimated VaR was actually exceeded.

C. Banks are required to keep three times their 99% 10-day VaR in capital reserves.

D. VaR focuses on the right tail of the return distribution.