If I have a VaR estimate at a 95% confidence interval is 10, how do I calculate the approximate level of the VaR if the confidence level was raised to 99%, assuming a one-tailed normal distribution?


1 Answer 1


If you assume that everything is normally distributed, then you just divide by normsinv(95%) and multiply by normsinv(99%).

  • $\begingroup$ Thank you, I wasn't sure if there is a non-excel function or not for this but this answer gives the correct value, thanks for your help! $\endgroup$
    – May
    Commented Dec 13, 2020 at 19:43
  • $\begingroup$ The equivalent Python method is norm.ppf() stackoverflow.com/questions/60699836 $\endgroup$ Commented Jan 2 at 14:38

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