How can the var figure best be interpreted

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Reference no: EM131939794

An organization's 5 percent daily VaR shows a number fairly consistently around £3 million. A backtest of the calculation reveals that, daily portfolio losses in excess of £3 million tend to occur about once a week. When such losses do occur, however, they typically are more than double the VaR estimate. The portfolio contains a very large short options position A. Is the VaR calculation accurate? B. How can the VaR figure best be interpreted?

Reference no: EM131939794

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