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VaR

  • Thread starter ActuaryStudentUK
  • Start date
A

ActuaryStudentUK

Member
Is it true that VaR "assesses potential minimum loss over a given time with a given degree of confidence"

I thought it gave the maximum loss at a confidence level, or equivalently the minimum return, since it gives the lower (say) 5th percentile of the distribution?
 
no it's max loss. i.e. at 95% confidence level, the one day VaR is the maximum loss you expect to occur 95% of the time over a single day.

Where did you see that min loss quoted?
 
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