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Asset worth 1 million whose 95th VaR is 100.000. (normal assumption)

bid ask spread on the asset has a mean of USD 0.1 and a standard deviation of USD 0.3. What is the 95th percentile LVAR (VaR and liq risk are uncorrelated).

What is the liq var.

444000 is answere but I think it must be 344000.

In your examples you use 1.65 for the stand deviation around the mean but it is two sided so it should be 1.96

bid ask spread on the asset has a mean of USD 0.1 and a standard deviation of USD 0.3. What is the 95th percentile LVAR (VaR and liq risk are uncorrelated).

What is the liq var.

444000 is answere but I think it must be 344000.

In your examples you use 1.65 for the stand deviation around the mean but it is two sided so it should be 1.96

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