VaR

CFA Level III Derivatives
#1

Hi guys,

In an analytica; VAR calculation, are we given the normal dist table or is there a function on the calculator to get those values?

#2

last year they gave the z values corresponding to each probability for the AM exam

#3

5% = 1.65

1% = 2.33

that is all you need to know

#4

Also, in question 10 on page 278, reading 34, they calculate expected weekly return from given monthly return by r(month)*12/52.

Whatever happened to compounding?

#5

Var uses arithmetic average return. Don’t argue with theory or CFAI . Besides normal distributions are based on mean and stdev only , nothing geometric there

#6

dont fight the Fed and dont fight the CFAI

two things i will never forget