value at risk

This topic contains 3 replies, has 2 voices, and was last updated by avatar ray3026 1 year, 3 months ago. This post has been viewed 240 times

Viewing 4 posts - 1 through 4 (of 4 total)
  • Author
    Posts

  • avatar
    carl29
    Participant
    • Topics: 9
    • Replies: 131

    How does one establish pvar from a distribution table?

    I’m working through a practice question, and it states pvar at 98% = 1.645. How is that determined?


    avatar
    ray3026
    Participant
    • Topics: 5
    • Replies: 29

    Hi

    I think 1.645 is referring to 95%

    To get value, first split 98% to 50% and 48% and you need to read through the distribution table and you will see 0·4798 0·4803 under 2.0 with 0.05 and 0.06. Hence the estimated value for 98% is actually 2.055.

    For this paper, just remember the value derived from VaR, valuation method etc is always estimated, hence it is good to state the assumption that the figures from blah blah is estimated.

    any forumer, do correct me if i am wrong.


    avatar
    carl29
    Participant
    • Topics: 9
    • Replies: 131

    In the exam, will this only be tested from theoretical perspective? the only explanations I can find on the subject seem to refer to the VAR as being 5%, which is 1.645 and 100% which is 2.33, I cant find anything that explains how to calculate these values


    avatar
    ray3026
    Participant
    • Topics: 5
    • Replies: 29

    for this topic, i doubt the examiner will test us on theoretical aspect. it is likely on how you calculate the VaR and how you understand this topic.

    for 95% confidence level, you are expected to explain what is happening to 95% and 5% respectively.

Viewing 4 posts - 1 through 4 (of 4 total)

You must be logged in to reply to this topic.