What inferences can one draw when given a modified VaR at x% confidence and an ordinary VaR at x% confidence level. If the two are equal one inference can be that returns are gaussian but that also depends on the confidence level. At extremely high confidence levels mVaR can be equal to VaR even with skewness and kurtosis.
So how do risk managers look at these estimates? Is the uncertainty in the estimates a concern. What if VaR is lower than mVaR and also less uncertain than mVaR. What if VaR is higher than mVaR but less uncertain than mVaR.
Is mVaR always preferable? By eyeballing the loss distribution it is easy to see if there is skewness and excess kurtosis and so mVaR may be preferable but is there a case where using mVaR can be a bad idea compared to using VaR.