Monte carlo VAR

CFA Level III Derivatives
#1

Schweser Bk 4,LOS 27f, Pg59.

In the example on the monte carlo VAR, the following returns are provided

.Return

Return Rank (ascending)

0.3%

1

0.5%

2

0.7%

3

1.5%

4

1.6%

5

1.7%

6

In the answer it is saying that the 5th percentile is the 5th worst return.

It has worked using return of 1.5% (4th rank) instead of 1.6%.

Can anyone please help me understand how this has been worked out.

Thank you

#2

Unless my book is different from yours, I think you’ve misread the example. The worst six outcomes (in ascending order) are: 0.3%, 0.5%, 0.5%, 0.7%, 1.5% , and 1.6%. This would make the use of 1.5% (the fifth worst return) correct.

#3

cgottuso8190,

Thank you.

This was a reckless question.

I will be more careful now on.

Thank you