Katmai (12/09) - Value at risk — OpenTuition Forums

DBDuy Bach7y ago

Hi John, In the answer of part b for this question, it stated:"This means that at the 95% confidence level, the interest rate will be 2.1% above or below current LIBOR". I wonder where did this 2.1% came from? The standard deviation for 6 months is 1.061% and at 95% confidence, value at risk should be 1.061 * 1.645 = 1.75% above or below the LIBOR rate... Dont know where did the 2.1% come from? Thank you

John MoffatTutor7y ago#1

I assume you are referring to the BPP answer. I don't know where they get 2.1% from - it does not appear in the examiners own answer :-)

DBDuy Bach7y ago#2

I see, yes it was from BPP. Thank you... I will check out examiner answer

John MoffatTutor7y ago#3

You are welcome :-)

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