Normal distribution theory table/VaR
mac1
Registered Posts: 40 Regular contributor ⭐
Is anyone able to tell me? A value at risk calculation confidence level of 95% equals 5% on a normal distribution table of -1.65 standard deviations. But I cannot see where this comes from on a normal distribution table, other than it's kind of the first area of the bell curve; I cannot tell anything from the Kaplan Complete Text and I'm none the wiser from numerous pages on the internet. It's for risk assessment of investment portfolios/assets for the ACCA P4 module. I could memorise it as -1.65 std deviations I suppose, but it would be good to know anyway.
Many thanks.
Many thanks.
0
Comments
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See if this helps
http://www2.accaglobal.com/pubs/students/publications/student_accountant/archive/sa_oct09_pogue.pdfSandy
sandy@sandyhood.com
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Cheers! Unfortunately the article still doesn't show me where the -1.65 or -2.33 standard deviations figures come from. Still, at least I know that they're for 95% and 99% probability, so I'll just have to take them as is.0
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Look at the normal distribution table
The value for 1.65 is rounded off as 0·4505
This shows only one side of the mean on the curve
But a normal distribution is equal on either side of the mean
So if you are looking for a 0.9 value (90%) then you are looking for +/- 1.65 standard deviations from the mean
And a 95% is 0·475 x 2 (found at the 1.96 standard deviations point)
There was a time when statistics was part of the ACCA qualification - I certainly remember "Decision Making Techniques".Sandy
sandy@sandyhood.com
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F9 has normal distribution and standard deviation in the current syllabus
He is an article with aspects aimed at the non-technical reader
See if it helps
http://riskinstitute.ch/Question11_b.htm
Otherwise see if your local library has an introductory statistics textbookSandy
sandy@sandyhood.com
www.sandyhood.com0
