(R26 EOC9) Can someone explain the solution for this problem? I don't understand the one given in book.

[sachin_patel]

[question removed by admin]

 

[cpk123]

0.005 + 0.005 = 0.01 = 1%
so 1% VAR = -40% (max Loss that could occur)
for 5% => you get -10%

 

[sachin_patel]

ok so is this understanding currect? I keep adding the probabilities and when it reaches desired level, that’s where I’ll find my VAR?
Thanks.

 

[Galli]

cpk123 wrote:
0.005 + 0.005 = 0.01 = 1%
so 1% VAR = -40% (max Loss that could occur)
for 5% => you get -10%

It’s minimum loss right?

 

[FrankCFA]

yes, should be a typo, min loss.