Hi, here is the question and answer I got given in class.

I am confused as to how he got the t values (-2.055 and -1.88) for the 98% and 97% VaR as when i use the z table i get -2 and -1.8

Question:

Suppose that the gain from a portfolio during six months is normally distributed with a mean of 2 million and a standard deviation of 10 million.

Find the portfolios 99% six-month VaR. (Use the standard normal distribution table)

What would be the six-month VaR atthe 98%, 97%, 95% and 90% levels, respectively?

Answer

From a distribution of gains:

For 99% six-month VaR:The 99% VaR = 2 million -2.33 * 10 million = -21.3 million

For 98% sixmonth VaR:The 98% VaR = 2 million -2.055 * 10 million = 18.55 million.

For 97% sixmonth VaR:The 97% VaR = 2 million 1.88 * 10 million = -16.8 million.

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