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#1

Hi Turtles,

I have a question, when a question ask you about the Var at a 5% prob level, what is the z value that we use? (Var = Portfolio value * [(E(R) - z(sigma)])

I thought the z value at 95% prob level is 1.96, but apparently, the answer is 1.65. Can someone please shed some light on this? I am a bit confused with regards to what value to use, I bet it is related to the interpretation of single vs. double tails of the distribution).

Thanks much!

I have a question, when a question ask you about the Var at a 5% prob level, what is the z value that we use? (Var = Portfolio value * [(E(R) - z(sigma)])

I thought the z value at 95% prob level is 1.96, but apparently, the answer is 1.65. Can someone please shed some light on this? I am a bit confused with regards to what value to use, I bet it is related to the interpretation of single vs. double tails of the distribution).

Thanks much!

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