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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!!
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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.
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