VAR increases or decreases question - 【CFA学习交流讨论】 - CFA论坛

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发表于 2011-7-13 14:05 | 显示全部帖子

it depends on the wording. The example given was not precise enough. VAR will increase in MAGNITUDE if you lower the probability. In other words, the lower the probability the higher the expected loss.

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发表于 2011-7-13 14:05 | 显示全部帖子

I'm talking about absolute values here, you guys are over analyzing.

NO EXCUSES

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