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Hi Sir. Past year from Dec 2014 Q3
How to calculate Value at risk (VAR) for
i) 1.645 standard deviation from the mean, if only has 95% confidence level ?
ii) 1.282 standard deviation from the mean, if only has 90% confidence level ?
I am not quite sure what you are asking.
We multiply the z value from the tables by the std dev’n x the square root of 5 (because it is over 5 years).
Have you not watched my free lectures on VaR?
But I explain this in my free lectures – again, have you watched them?
(You cannot expect me to type out all my lectures here).They are found by working backwards using the normal distribution tables provided. There is no need to do it to three decimal places – just using the nearest to 2 decimal places in the tables is sufficient rather than apportioning between two values.
Thank you, Sir, I know how to find it.
By using 0.5 – 0.1 (90%)= 0.4, then directly find figures in the table, which gives 1.28.
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