I am trying to understand the concept of VAR and its interpretation.
It says that there are two interpretations:
5% VAR of $12,500 daily
1. There is a 95% chance you will not lose more than $12,500
2. There is a 5% chance you will lose at least $12,500
I find these two statements contradicting each other. Not sure how to interpret them.
Can someone help me?
Study together. Pass together.
Join the world's largest online community of CFA, CAIA and FRM candidates.