susana

bpdulog, I don't agree

VAR gives you the MINIMUM expected loss given a certain period and %confidence level, loss can alway be higher than stated VAR

as the confidence level increases, so does the expected loss

as the period (days -> weeks -> months ->....) increases, so does VAR

both is logical and easy to remember, as the very highest loss (with either method) is @100% and you get closer if you move towards this

...and of course you would expect to get to this highest loss more probable in the next 10 years then by next tuesday

re negative and positive values: the thingie is calle "Value at risk", so it must be a positive number ($$$ or % @risk)

otherwise, it would be called "gain at risk" (which would be negative) ;-)

of course, if you develop VAR from historical figures f.e., you look at negative numbers, but the VAR would still be stated positively