I have the following data:
VaR
VaR%
Expected return
Am I right to think that I would be able to derive standard deviation from this?
Using the formula: VaR%= ER-(zscore*SD), I should be able to calculate SD= (ER-VaR%)/zscore
Given:
VaR%= 0.5%,
ER= 0.3%,
zscore= 1.65(95% confidence)
then, SD= (0.3-0.5)/1.65= -0.12
But SD can never be negative. I the derivation wrong or anything else wrong? I cant figure it out. Can someone help please?