Report VaR Error

Key Report VaR Error in VaR Rep refers to the standard deviation of the absolute value of the reported VaR of the referenced tradable.
In the case of a standard, non-randomized simulation this is computed only if so instructed by the entry Report Quantile Std Devs
Note that the VaR with confidence interval 1 - p is defined as the p-th quantile of the loss distribution.
It is a mathematical fact that the estimated p-th quantile is asymptotically normal around the true p-th quantile α with variance equal to p(1-p)/[Nf(α)²] where f(x) is the probability density function of the related random variable and N is the sample size.The standard deviation of the estimated p-th quantile equals the square root of that variance.