Key_VaR_Spec__Confidence

KeyTypical values are 0.99 for a 99% interval or 0.95 for a 95% interval.

For example, if the one-day VaR with 95% confidence interval equals 100 USD then we are 95% confident that the realized loss after one day will not exceed 100 USD.

There would still exist a 5% probability that the realized loss will be greated than 100 USD.