It is desirable to base the confidence interval on the single point of the quantile estimate, and this view supports the use of asymptotic standard error of a quantile to construct the interval.

The use of order statistics starts with the pseudo history of portfolio value changes (denoted by ΔV), and reorders them from highest to lowest so that ΔV(1) ≥ ΔV(2) ≥ … ≥ ΔV(T).

The advantage of using order statistics over using bootstrap procedure is that the order statistics approach does not assume independence of the changes in portfolio value over time.