Value at risk - only 1/2 page notes

Hi there,

Value at risk is a popular topic and appears in the exam a couple of times but the notes in the manual is only 1/2 a page.

I have also bought Hull and make some references in some other manuals but none of them go for Integration etc when returns follows a pdf/ continuous distribution. The notes also refers to Weibull etc but no worked examples.

If it follows a normal distribution , then its all easy Var = Mean - (Z-value)*SD

Can someone give us some worked e.g when it tells us to calculate VaR where Returns follows some functions / distribution. Pls explain the steps as the past exam papers solution are not quite helpful.

What are the lower and upper limits , integration and how to plug the formula in etc

Regards

Rcaus