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Converting VaR at different Confidence interval
Posted: February 9th, 2011, 9:25 am
by BFP
If we have a 95% confidence VaR number, but do not know the mean or SD, how can i get a 99% VaR number?
Converting VaR at different Confidence interval
Posted: February 9th, 2011, 9:55 am
by daveangel
multiply by 1.414
Converting VaR at different Confidence interval
Posted: February 9th, 2011, 1:32 pm
by quantmeh
QuoteOriginally posted by: daveangelmultiply by 1.414assuming what? normality
Converting VaR at different Confidence interval
Posted: February 9th, 2011, 1:48 pm
by daveangel
QuoteOriginally posted by: quantmehQuoteOriginally posted by: daveangelmultiply by 1.414assuming what? normalityimplicitly .. i have no other information.