Value at Risk (Risk Management)

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March 14, 2012 at 3:17 am #51842
eshra
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Can someone explain Value at Risk (VaR) ? How do you interpret the Normal distribution tables, for example, how do you calculate the normal distribution value for a one tailed 5% probability level? I don’t understand how it was arrived at in the kaplan text.
March 14, 2012 at 3:02 pm #95453
somekasu
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I think at 95% so less 50% or .95 less 0.5 from this so you get 0.4500 so it comes in 1.64 in standard normal distribution table given in exam sheet.
1.6 on left hand column and 0.04 at top row gives 0.4495 and 0.05 gives 0.4505 so it will be between these two values.
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