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"A 99% VaR using 1,000 (simulation) replications should be expected to have only 10 observations in the left tail, which is not a large number. The VaR estimate is derived from the 10th and 11th sorted numbers. In contrast, a 95% VaR is measured from the 15th and 51st sorted numbers, which is more precise"

Could anybody enlighten me why 95% VaR estimation uses the 15th data point?

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I think there is a mistake in your definition. It should be between "50th and 51st" sorted numbers. 95% VAR means 5% is in the tail. 5% * 1000 = 50. The 95% VAR will be the 50th worst outcome of your 1000 simulations.

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  • $\begingroup$ Thank you for the comment. That matches what I think. $\endgroup$
    – techie11
    Sep 15, 2020 at 18:51
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    $\begingroup$ if a typo is the correct answer then vote $\endgroup$
    – develarist
    Sep 15, 2020 at 19:30

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