I am having a bit of trouble disseminating the true meaning behind VaR.
Say you have two V Values, prior to taking ABS value. Both values are negative, the first value being -10 and the second value being -20. After taking the ABS Value, the Var answer becomes 10 and 20, respectively. Both values have an 99% Confidence interval.
What value is better? Convention would say, prior to taking ABS, -20 is better, since its further from zero, hence less loss. But after you take the ABS Value, you are now have a higher degree of loss?
What am I missing?