[R-SIG-Finance] A question on VaR

Christofer Bogaso bogaso.christofer at gmail.com
Mon Sep 3 22:20:47 CEST 2012

Dear all, I am preparing a presentation to demonstate why
Value-at-Risk (VaR) is not a good measure for Risk. Basically, my
intention is to show that: For 2 drastically different distributions,
the VaR (i.e. 5th percentiles) can be just same.

Can somebody help me to find such drastically different two
statistical distributions which have same 5th percentile?

Thanks for your help.

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