Page 201 in book 2. The example does not seem to add up to 1.929 I get 1.361 as they suggest to use -1 rather than 1, do we use the modulus for S or the actual number? Anyone?
The first alpha should be -1.645 (this will give a negative VaR, although minus sign is often dropped in VaR). If you use -1.645, you can use -1 for S and the result will be -1.929. Otherwise it would not make sense since negative skewness has to increase risk.
thanks