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Dear all,

studying the computation of se(q) for the confidence interval of a coherent risk measure (here VaR) in the GARP books, I noticed two inconsistencies.

1. f(q) is indicated as "= 1-0.9446-0.0450" while I believe it would only make sense to compute it as "f(q)=1-(0.9446-0.0450)", i.e. "f(q)=1-0.9446+0.0450" in order to get the probability to be in the tails of the distribution.

2. In the computation of se(q), p = 0.0450 for both the upper and the lower bounds of VaR. I believe it should be p=0.9446 for the lower bound of this distribution, since it refers to the probability of the lower bound of the interval (1.6) rather than to the probability of the upper bound of the interval (1.7). Taking twice the same p (for upper and lower bound) seems very counter-intuitive.

Any explanation for these two inconsistencies / questions?

studying the computation of se(q) for the confidence interval of a coherent risk measure (here VaR) in the GARP books, I noticed two inconsistencies.

1. f(q) is indicated as "= 1-0.9446-0.0450" while I believe it would only make sense to compute it as "f(q)=1-(0.9446-0.0450)", i.e. "f(q)=1-0.9446+0.0450" in order to get the probability to be in the tails of the distribution.

2. In the computation of se(q), p = 0.0450 for both the upper and the lower bounds of VaR. I believe it should be p=0.9446 for the lower bound of this distribution, since it refers to the probability of the lower bound of the interval (1.6) rather than to the probability of the upper bound of the interval (1.7). Taking twice the same p (for upper and lower bound) seems very counter-intuitive.

Any explanation for these two inconsistencies / questions?

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