Q&A 3.6 (iii)

iii). The 95% VaR for an investor with a 10m portfolio where the average annual return is 6% and there is a 5% chance that the value of the portfolio will fall by more than 10% over a year.

The solution is 1.6M

I noticed in examiner's report(April 2012), both deviation of VaR from mean and total amount VaR are accepted. Are there different definitions?

 

Look a few threads down - I asked the same question and there is a whole thread about it

 

thanks!

Thanks, didn't notice it in the first place.