Consider a VAR of $100 000 for a 95 per cent confidence level. A problem with this information is that while we know that we will lose more than the VAR amount on 5 days out of every 100, we do not know the maximum amount we can lose.

Question

Quizplus · Accepted Answer

The VAR only provides information on the potential loss for a certain confidence level. It does not provide information on the maximum potential loss.

Consider a VAR of $100 000 for a 95 Per