liangfeng

Just picture a normal distribution.

We're looking at the left tail of this distribution.

95% - there's 5% to the left of the VAR number. (say the VAR number = -1,000,000)

99% - there's 1% to the left of the VAR number. (say the VAR number = -1,500,000)

What does that mean? The 99% VAR occurs further in the tail i.e. it's lower in numeric terms.

But VAR tells you about the maximum loss at a given % confidence so for 95%, your maximum loss is 1m but for 99%, your max loss is 1.5m.

HENCE, higher VAR for higher confidence level.