Var

bono06 · May 23rd, 2006, 11:26 am

hi i hope some one can help..bond a; 98.4% probability of investor earning a yield and 1.6% var of bond issuer defaulting and investor losing 100.Is the 99% VAR zero cause we`re not in the 1% quartile?

gjlipman · May 24th, 2006, 1:20 pm

Other way round (although I might not have understood you) - in this case the 99% VaR is equal to the 98.4% VaR, is equal to the full value.