AFMvalue at risk

Hi I think 1.645 is referring to 95% To get value, first split 98% to 50% and 48% and you need to read through the distribution table and you will see 0·4798 0·4803 under 2.0 with 0.05 and 0.06. Hence the estimated value for 98% is actually 2.055. For this paper, just remember the value derived from VaR, valuation method etc is always estimated, hence it is good to state the assumption that the figures from blah blah is estimated. any forumer, do correct me if i am wrong.

for this topic, i doubt the examiner will test us on theoretical aspect. it is likely on how you calculate the VaR and how you understand this topic. for 95% confidence level, you are expected to explain what is happening to 95% and 5% respectively.