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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?

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

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  • $\begingroup$ 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
    Dec 13 '20 at 19:43

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