Hello, if there is a 5% probability of a portfolio return range of - 20% to - 30% - what is the VAR at the 5% level - is is a 5% chance you lose at least 30% or 20%?
since 30% is more than 20% , you lose at least 20% .
or I’m confused by your question
Nevermind, I think I got confused. I was thinking that maybe you could use 30% to be more conservative but I agree you should use 20%