Probability Level 
VaR Confidence Level
Nonrejection Region for Number of Failures N
days
days
days
days
0.05
95.0%
0.025
97.5%
0.01
99.0%
0.005
99.5%
| Probability Level | VaR Confidence Level | Nonrejection Region for Number of Failures N | |||
|
|
|
|
| ||
| 0.05 | 95.0% |
|
|
|
|
| 0.025 | 97.5% |
|
|
|
|
| 0.01 | 99.0% |
|
|
|
|
| 0.005 | 99.5% |
|
|
|
|