标题: z-value of delta normal method [打印本页] 作者: NakedPuts 时间: 2011-7-13 17:16 标题: z-value of delta normal method
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?作者: Roflnadal 时间: 2011-7-13 17:16
deriv108 Wrote:
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> 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.作者: cityboy 时间: 2011-7-13 17:16
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.作者: PalacioHill 时间: 2011-7-13 17:16
5% = 1.65 sigma below mean
1% = 2.33 sigma below mean
, we may be provided with the z-value.