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Value at risk

Forums › Ask ACCA Tutor Forums › Ask the Tutor ACCA AFM Exams › Value at risk

  • This topic has 3 replies, 2 voices, and was last updated 9 years ago by John Moffat.
Viewing 4 posts - 1 through 4 (of 4 total)
  • Author
    Posts
  • March 10, 2016 at 9:55 am #305177
    soooraj
    Member
    • Topics: 12
    • Replies: 70
    • ☆☆

    Sir plz tell me how to read the table in the topic of value at risk…
    For eg 5%probability level standard deviation at 20% fund value is 1000

    March 10, 2016 at 11:02 am #305194
    John Moffat
    Keymaster
    • Topics: 57
    • Replies: 54679
    • ☆☆☆☆☆

    You subtract the probability from 50%. (So for 5% you get 45%)
    Then you convert to a decimal (so 45% is 0.45)
    Then you look up in the table to nearest answer to your decimal and read what the row/column headings are for that figure. (So for 0.4500 it is half way between 1.64 and 1.65 – so 1.645)

    I do suggest you watch my free lecture on this:
    https://opentuition.com/acca/p4/acca-p4-value-at-risk/

    March 10, 2016 at 11:49 am #305218
    soooraj
    Member
    • Topics: 12
    • Replies: 70
    • ☆☆

    Thanks Sir

    March 10, 2016 at 12:01 pm #305233
    John Moffat
    Keymaster
    • Topics: 57
    • Replies: 54679
    • ☆☆☆☆☆

    You are welcome 🙂

  • Author
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