mar350

1) VAR = Rp - z * Std dev

If confidence interval increases from 95% to 99%, then the z score increases from 1.65 to 2.3.

This VAR decreases. Thats correct right?

infinitybenzo

And yes 99 percent shoudl be HIGHER than 95 percent.

zwjy

No VAR represents with 95 percent confidence (or whatever the number) the maximum loss. But there is a 5 percent chance that it could be WAY WAY worse than 1 million.

Roflnadal

1. Higher - I don't know why the guideline answer says lower
2. Increase

False. VAR never gives you the maximum loss, only the maximum loss at a stated probability.

NO EXCUSES