Hello John,
Dec 2014, 3 exercise (VaR) -
Could you please explain where the 1.645 (95% confidence level) and 1.282 (90% confidence level) standard deviations come from?
How to get them in the exam to calculate VaR?
Thank you!!
Ask the Tutor ACCA AFM
Dec 2014 - VaR
You should look up in Normal distribution table opposite to what you usually look for d1 and d2.
You should look John's lecture on VaR and everything will be clear to you, it's actually quite easy.
10y ago#2Thank you jadro82 (although please don't answer in this forum because it is Ask the Tutor :-) )
mishk: jadro82 is correct and if you watch the free lecture then it should answer your question.
Sign in to reply to this topic.