🔑 Join this channel to get access to perks & support my work: th-cam.com/channels/Akyj2N9kd0HtKhCrejsYWQ.htmljoin Learn to calculate VaR with the Parametric Method in Excel here: th-cam.com/video/y4AOyA28d0M/w-d-xo.html Learn to calculate VaR with the Parametric Method in Python here: th-cam.com/video/n8N1KK_1T50/w-d-xo.html
Hey there, I believe you are think about a two tailed test. VaR is just a 1 tailed test as we only care about the loss side of the distribution. (left tail only). So the Z-score for a one tailed test at the 95% confidence interval is 1.65
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Learn to calculate VaR with the Parametric Method in Excel here: th-cam.com/video/y4AOyA28d0M/w-d-xo.html
Learn to calculate VaR with the Parametric Method in Python here: th-cam.com/video/n8N1KK_1T50/w-d-xo.html
How did you get z score. Isn't it 1.96 for normal distribution.
Hey there, I believe you are think about a two tailed test. VaR is just a 1 tailed test as we only care about the loss side of the distribution. (left tail only). So the Z-score for a one tailed test at the 95% confidence interval is 1.65