Question:
"The distribution of the losses from a project over one year has a normal loss distribution with a mean of -10 and a standard deviation of 20. What is the one-year VaR when the confidence level is (a) 95%, (b) 99%, and (c) 99.9%?"
Answer:
(a) 22.9, (b) 36.5, (c) 51.8.
Could someone explain to me how a project with a mean of -10 and standard deviation of 20 can have a VaR of 22.9 when the confidence interval is 95%?
I assume it should be something like this:
-10- 1.65*(20) which comes out to be about 42.8.
"The distribution of the losses from a project over one year has a normal loss distribution with a mean of -10 and a standard deviation of 20. What is the one-year VaR when the confidence level is (a) 95%, (b) 99%, and (c) 99.9%?"
Answer:
(a) 22.9, (b) 36.5, (c) 51.8.
Could someone explain to me how a project with a mean of -10 and standard deviation of 20 can have a VaR of 22.9 when the confidence interval is 95%?
I assume it should be something like this:
-10- 1.65*(20) which comes out to be about 42.8.
