Is it correct to calculate the VaR as 99% max between loss and profit. E.g. if 99% VaR on the loss side of the distribution is -100, and on the positive side of the distribution there is a value corresponding to 120 at 99% confidence interval. Is it correct to say that the VaR is then 120?
My thinking is that VaR should be the value corresponding to the 99% worst loss , so if p&l vector has -100, 80, -90, 45, 120 ... until n=500. The worst 5th scenario from the negative numbers is the VaR when the numbers are arranged from smallest to the largest for all 500 observations, with the smallest number starting with a negative value and largest number being positive.
Also, please explain on the concept of Absolute VaR, as my understanding is that absolute VaR is just the VaR relative to 0, whereas relative VaR is the VaR relative to some expected return.