Your question is Value at Risk and Tail Limits. Take a moment with it on the right.
Talk me through your thinking if you like. When you're confident, submit your answer and I'll grade it like a real screen (7/10 or better passes).
You are reviewing a market risk model for a portfolio with volatile daily profit and loss. The discussion is about how to summarize downside risk with a single percentile measure, and whether that measure is reliable when losses come from rare, severe events.
How do you calculate Value at Risk (VaR), and what are its main limitations when modeling extreme risk events?