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In the most up-to-date BPP text in the Value-at-Risk section on page 170 it state:
“When the random variable follows the normal distribution, the VAR at specific probability levels is easily calculated as a multiple of the standard deviation. For example, the 5% VAR is simply 1.645(standard deviation symbol); the 1% VAR is 2.33(sd symbol)”
My question is where do we obtain the 1.645 and 2.33 from?
This is all explained in my free lecture on VaR which is the first lecture listed on this page:
Oh sorry sir, forgot that was there.
Just watched it and it all makes sense, perfectly explained.
Once again Thanks to OT and ofcourse to you too Sir!
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