z-value of delta normal method method

NakedPuts

To calculate 1% VAR by using delta normal method(analytical method, we may be provided with the z-value.

Should we memorize the z-value for 5% VAR?

Roflnadal

deriv108 Wrote:
-------------------------------------------------------
> To calculate 1% VAR by using delta normal
> method(analytical method, we may be provided
> with the z-value.
>
> Should we memorize the z-value for 5% VAR?

It is around 1.65 but you don't have to memorize it. You will get all statistical values you need. Focus on understanding and applying concepts.

cityboy

You should know what percentage 1,2 and 3 st. dev. away from the mean corresponds to. In order to standarize a non-normal distribution (with z-values) they have to give us the raw score, mean and st. dev.

PalacioHill

5% = 1.65 sigma below mean
1% = 2.33 sigma below mean