confidence-level

I just realized that confidence interval and confidence level are two different things? When we calculate 95% VaR, we get 1.645 whereas if we do 95% confidence interval for Black-Scholes Merton model, we get the z-value for 1.96? Can anyone please illustrate the difference in these two? Many thanks.

Hi, I have the following understanding - Does this make sense or am I missing something here? We may choose to accept a 99% VAR model with 95% or 99% (or any other) level of confidence. Hence, using Jorian's example from book, assuming we use a 99% VAR (i.e. p=.01), over 250 days (i.e. T=250)...