Regarding the VaR formula:
VaR = -U-ZX
Where U is the average return, X is the standard deviation and Z is the negative number of standard deviations that specifies the probability level associated with the tail-risk.
I have read two papers that use this formula. However, one interprets a higher Z (in absolute terms) as a higher probability or confidence level whereas the other interprets a higher Z as a higher volatility scenario? Could someone please clarify how I could interpret a higher Z?
Thank You.
