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VaR

Forums › Ask ACCA Tutor Forums › Ask the Tutor ACCA AFM Exams › VaR

  • This topic has 3 replies, 2 voices, and was last updated 10 years ago by John Moffat.
Viewing 4 posts - 1 through 4 (of 4 total)
  • Author
    Posts
  • February 3, 2015 at 1:40 pm #225015
    ABDUL
    Participant
    • Topics: 2
    • Replies: 8
    • ☆

    Respected sir,
    i dont know how to calculate standard deviation for VaR.
    If we say 99% or 95% confidence level then how can we calculate ?=2.64?
    and how ?=1.645 at 98% confidence level?

    February 3, 2015 at 3:01 pm #225037
    John Moffat
    Keymaster
    • Topics: 57
    • Replies: 54665
    • ☆☆☆☆☆

    What you do is this:

    Because the distribution is symmetrical is means that there is 50% easy side of the average.
    For 95% confidence we say that there will be 50% on one side of the average and therefore 45% (95 – 50) below the average, (or 0.45)

    You then look in the tables to see how many standard deviations give an answer in the tables of 0.45. (You will fine that 1.64 sd’s gives and answer of 0..4495, and 1.65 sd’s gives an answer of 0.4505 – so for 0.45, we would say 1.645 sd’s )

    Try doing the same yourself for 99% confidence – you should get an answer of 2.33 sd’s. (Normally we only do it for either 95% or 99%.)

    I don’t know where you got 2.64 from, and 1.645 is not 98% confidence!

    February 3, 2015 at 4:03 pm #225048
    ABDUL
    Participant
    • Topics: 2
    • Replies: 8
    • ☆

    many many thanks respected sir….

    February 4, 2015 at 8:28 am #225138
    John Moffat
    Keymaster
    • Topics: 57
    • Replies: 54665
    • ☆☆☆☆☆

    You are welcome 🙂

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