Report VaR percent Error

Key Report VaR % Error in VaR Rep refers to the standard deviation of the percentage 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.