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This is a a simple and rather pratical approach and not theoretical. Let's assumes I have generated 250 scenarios for a given fixed portfolio. Hence we assume that the asset returns can result in 250 returns and each of them are equally probable

How would you interpret the scenarios in terms of value at risk?. Say you want 10% VaR. Can you simply call the 25th worst scenario as your 10% VaR. What is my 1% var then?

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Yes, your 25th-worst scenario of 250 cases would be your 10% VaR. For your 1% VaR, as it doesn’t rest directly on a known point, you’d choose some function (cubic splines are popular) to approximate the curve, and interpolate.

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