Can a VaR equivalent Volatility (VEV) as defined by KID/PRIIPS law be negative and what does it mean if it has a negative value?
You can attain negative VEV if the "loss" measured at the 2.5% percentile is actually a gain.
I build you a product where you lose all capital with 1% measured probability and pay you a coupon with the proceeds.
Under VEV, it will attain a MRM of 1 (I.e. cash-like)