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Dear all,
I came across a Q22 ( part C) in the BPP Kit (about Value at Risk) and i’m wondering :
(i) – ” the standard deviations figure” say 1%=2,33%, or 5% = 1.645 will be given in the question or we have to remember that? and will it be vary figure like 2% or 6 % or only these 1% and 5%?
(ii)- what is ”a single tail measure”?
I’m kinda messy up around on this part.
Hope someone could help explain me with these issue.Thanks,
SambathYou are given normal distribution tables in the exam and so you can look up the SD figure for any % (although it would be very unlikely to be asked for other than 1% or 5%).
It will help you to watch my free lecture on VAR where the logic (and how we use the tables) is all explained. It is first on the list of the free P4 lectures, but you can go to it directly here:
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