Value at risk- DEC 2014

This topic has 3 replies, 2 voices, and was last updated 9 years ago by John Moffat.

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June 6, 2016 at 11:34 am #319814
6shahir
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For the confidence level of 90% how o u get the stdeviation of 1.82?
How would u do yr method here, can u explain me, the marking scheme luks abrupt?
June 6, 2016 at 12:02 pm #319832
John Moffat
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You work back using the normal distribution tables to see how many std deviations give an answer of 0.4. (For 90% confidence we need 90 – 50 = 40% below the mean. 40% = 0.4)
I explain this all in detail in my lecture on VAR.
June 6, 2016 at 1:11 pm #319855
6shahir
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If its 0.4 then under the SD Table, the closest value is 0.4015 then 1.29 but in the MS its 1.282
June 6, 2016 at 4:31 pm #319899
John Moffat
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It certainly is not the closest at all !!
1.28 is closer (and the examiner accepts it to two decimal places). He has approximated linearly between 1.28 and 1.29.
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