value at risk

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January 17, 2020 at 2:40 pm #558964
herbertchan
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99% confidence level requires the value at risk (VAR) to be within 2.33 standard deviations from the mean, based on a single tail measure.

how is the 2.33 calculated?

thanks a lot.
January 17, 2020 at 4:24 pm #558977
John Moffat
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I explain this in my free lectures on VaR 🙂

(We work backwards using the normal distribution tables provided in the exam)
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