Value at risk - sept 2010 q4

Discussion in 'SP5' started by John H, Apr 10, 2013.

  1. John H

    John H Member

    Why in the value at risk question on q4(ii) of September 2010 is the log of returns not reversed out.

    The question states assume log returns are normally distributed however the solution calculates VAR assuming returns are normal.

    My value at risk would be:

    20,000 x exp(-1.6449 x 0.15 / sqrt(250))

    Am I missing something?
     
  2. CannonRee

    CannonRee Member

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