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
$\begingroup$
$\endgroup$
1
If you assume that everything is normally distributed, then you just divide by normsinv(95%) and multiply by normsinv(99%).
answered Dec 13, 2020 at 18:59
-
$\begingroup$ 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! $\endgroup$– MayDec 13, 2020 at 19:43