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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?
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?