Dear hubbers,
In the actex manual unfortunately there is only minimal notes on VaR whilst in the exam a couple of questions are tough. I have also bought Hull book and refer to a couple of others but they all do not give e.g when returns has a pdf.
If it follows a normal dist , its easy as Var = mean - (z score * S.d)
However, when in the exam they give you another pdf pls help me to understand the steps ( say 5% Confidence). Especially the value of a and b for the integration parameters.
Can someone elaborate on the solutions for exam April 07 # 4 .
In fact, is someone can send me a couple of qus and solution and whether we can follow a standard steps that would be great.
Regards
RcAus
Last edited by a moderator: Jun 7, 2008
