Value at Risk calculation, without portfolio value. Are my calculations correct?

Hi! I’m doing a VaR calculation and just wondering if my numbers are correct. This calculation is without a portfolio value, so just the percentages of losses to be expected at a 95 % confidence level. ​ My = 1,12 Critical value for n>1000 = 1.645 Sigma = 0,44 ​ Based on these number, I’ve used the formula: Var= -X + σ*tα , IE: -1,12 + 0,44*1,645 = -0.3962. Based on my numbers, I will not lose more than 39,62 % of my portfolio in the 5 % worst of cases, or is it 1-0,3962 = 0,6038 = 60,38 %? submitted by /u/frysinatoren [link] [comments]

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Nevin Manimala

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