When using VAR as a measure of risk capital, how should the confidence level be chosen? Discuss

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When using VAR as a measure of risk capital, how should the confidence level be chosen? Discuss the cost and benefits of having a high confidence level.

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Value at Risk The New Benchmark for Managing Financial Risk

ISBN: 978-0071464956

3rd edition

Authors: Philippe Jorion

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Question Posted: May 03, 2016 02:23 AM

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When using VAR as a measure of risk capital, how should the confidence level be chosen? Discuss

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The choice of the confidence level should be based on the ch...View the full answer

Value at Risk The New Benchmark for Managing Financial Risk

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