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Value-at-Risk is a family of measures used to help the owner of a position to assess its "worst case value".

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1 answer
82 views

Calculating the Value-at-Risk when changing the confidence level

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?
  • 15
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10-day VaR for a portfolio

I multiplied the delta equivalent by the daily volatility by the current exchange rate: 56 x 1.5 x 0.7 = 58.8 I then multiplied this by the square root of 10 to get the 10-day VaR = 185.942. I then mu …
  • 15
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10-day VaR for a portfolio

So, Bank ANZ owns a portfolio of options on the USD/GBP exchange rate. The delta equivalent position of the portfolio is GBP 56.00. The current exchange rate is 1.5, with a daily volatility of 0.7 per …
  • 15