Serving the Quantitative Finance Community

Converting VaR at different Confidence interval

Post Reply
 
User avatar
BFP
Topic Author
Posts: 1
Joined: July 11th, 2007, 1:21 pm

Converting VaR at different Confidence interval

February 9th, 2011, 9:25 am

If we have a 95% confidence VaR number, but do not know the mean or SD, how can i get a 99% VaR number?
Top
 
User avatar
daveangel
Posts: 5
Joined: October 20th, 2003, 4:05 pm

Converting VaR at different Confidence interval

February 9th, 2011, 9:55 am

multiply by 1.414
knowledge comes, wisdom lingers
Top
 
User avatar
quantmeh
Posts: 0
Joined: April 6th, 2007, 1:39 pm

Converting VaR at different Confidence interval

February 9th, 2011, 1:32 pm

QuoteOriginally posted by: daveangelmultiply by 1.414assuming what? normality
Last edited by quantmeh on February 8th, 2011, 11:00 pm, edited 1 time in total.
Top
 
User avatar
daveangel
Posts: 5
Joined: October 20th, 2003, 4:05 pm

Converting VaR at different Confidence interval

February 9th, 2011, 1:48 pm

QuoteOriginally posted by: quantmehQuoteOriginally posted by: daveangelmultiply by 1.414assuming what? normalityimplicitly .. i have no other information.
knowledge comes, wisdom lingers
Top
© All material, including contents and design, copyright Wilmott Electronic Media Limited | Privacy | About | Contact us