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1 −3.30% 3 0.0221 0.0221 0.01 0.01 2 −2.90% 2 0.0226 0.0447 0.01 0.02 3 −2.70% 65 0.0063 0.0511 0.01 0.03 4 −2.50% 45 0.0095 0.0605 0.01 0.04 5 −2.40% 5 0.0213 0.0818 0.01 0.05 6 −2.30% 30 0.0128 0.0947 0.01 0.06 is there anything wrong to interpolate this way: 2.80% − (2.80% − 2.70%)*[(0.05 −...

Anybody using Schweser? I have a problem with Interpolation. Page 22. Schweser is using 4,7 as starting point. for revised VaR they are using the midpoint - here 3,5 - to get the value for 5% percentile. I guess there is some inconsistency?! Why its here not 4,4 or for the second not 3,6?