[dharu]

Dear John,
Could you please clarify how the figure [/b]1.65 was derived in the example given in June 2011 Revision. Thank you beforehand.

“[/i]A bank has estimated that the expected value of its portfolio in 2 weeks time will be $50M, with a standard deviation of $4.85M. At the 95% confidence level, what is the VaR?”

The answer is: 50M – 1.65 x 4.85M = $42M

[dharu]

Hi colleagues. could you please share the P4 Mock to me?Thank you.My email is: dharu@accamail.com

[Author]

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