The maximum one-day loss estimated using the value-at-risk (VAR) method is independent of the confidence level used.

Name: The maximum one-day loss estimated using the value-at-risk (VAR) method is independent of the confidence level used.
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Quizplus · Accepted Answer

The maximum one-day loss estimated using the VAR method is directly influenced by the confidence level used. A higher confidence level will result in a larger estimated maximum one-day loss.

The Maximum One-Day Loss Estimated Using the Value-At-Risk (VAR) Method