I am looking at Q8 in the April 2019 paper and I am unclear about the calculation of VaR under ii) so if our 99%VaR= -t |P(1000000*(1+i)<t)=0.01 which results to t= 544740 shouldn't our VaR be -544740? In the solutions we are given 99%VaR = 1010000-544740 =465260 where 1010000is the expected portfolio value Thanks.
Hi Elena, The question asked us to provide the Value at Risk relative to the expected portfolio value. Therefore, we needed to take our calculated value for t of 544740 , and compare it to the expected value portfolio value of 1010000 (calculated in part (i)(a)). This gave us the answer of 1010000 - 544740 = 465260. Alvin.
