Is a higher confidence level more conservative or less conservative? I’m a bit confused on this one.
It’s more conservative, the VAR with a 99% Confidence level is higher than a 95% one.
I would say conservative. By increasing the confidence interval, it decreases the probability of “having a surprise” with a higher loss given the significance level. It also increases the probable amount of minimum loss faced by the investor.
I think higher is less conservative. Higher confidence interval means higher z value, means lower [Return - Z(std dev)] value, means lower VAR value.
amit: VAR Value is normally negative. With higher confidence interval the VAR Value is a higher negative number. Cheers 
A lower VAR, (a higher negative#) translates to a bigger risk exposure/measurement of the firm. Hence it’s more conservative.
with numbers: if Rn=5%, StandardDev=6%, z=1.65 and Nominal = 1mio then Var = (5 - 6*1.65)*N = 4.9%*1mio = 49,000 of loss now if z=2 then Var = (5-6*2)*N = 70,000 of loss So you see that the risk of loss has increased, hence more conservative
Got it… Thanks guys… Didnt think of the negative sign…