Sometime Schweser uses two tail critical values for VaR and sometimes one tail, i.e 1.65 vs. 1.96 for 5% test. There does not seem to be an real guidance for this. Has anyone seen hard and fast rule from GARP?
VAR is always the left tail. Confidence intervals are both tails. In the quant material they usually don’t look at VAR, but exclusively at hypothesis tests and regression, using both tails. Then, in book 3-5 they usually only look at VAR, using the left tail only.
I thought so, some of the q-bank questions dont follow this rule. Much appreciated.