VAR

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January 26, 2024 at 6:47 am #699097
guyver101
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Is it true that VAR works in the opposite direction, given that its a statistical estimate based on normal distribution?

eg if NPV = 1000, and 95% VAR = 800 we say we are 95% confident that the minimum NPV is 200

Can we also say we are 95% confident that the maximum NPV will be (1000+800) = 1800?

Thanks
January 26, 2024 at 8:45 am #699101
John Moffat
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We can, but this is not the point of looking at the VAR because we are concerned about the risk of things being worse.
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