td00553150
New Member
I just realized that confidence interval and confidence level are two different things?
When we calculate 95% VaR, we get 1.645 whereas if we do 95% confidence interval for Black-Scholes Merton model, we get the z-value for 1.96?
Can anyone please illustrate the difference in these two? Many thanks.
When we calculate 95% VaR, we get 1.645 whereas if we do 95% confidence interval for Black-Scholes Merton model, we get the z-value for 1.96?
Can anyone please illustrate the difference in these two? Many thanks.
