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Read the distribution assumption
For σL>0, the normal density is positive across the real line. Model losses can be arbitrarily large in either direction, although tail probabilities become small. The distribution has no finite largest possible loss.
Interpret the calculator’s finite curve
The standardized plot displays z values from −4 to 4. That window permits a legible density figure; it does not truncate the model or assign zero probability outside the figure.
Check whether the assumed support fits the task
A bounded payoff, a default loss capped by an exposure or a nonnegative terminal-price constraint may require a different model. A normal approximation can place mass on outcomes outside those economic bounds. State whether that approximation is appropriate.
Retain the percentile meaning
| Object | Interpretation |
|---|---|
| VaR | A confidence threshold |
| Expected shortfall | Selected-tail average |
| Plot endpoint | Displayed coordinate only |
| Normal model support | The whole real line |