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Visualizing VAR

 

 

Confidence (x%)

ZX%

90%

1.28

95%

1.65

97.5%

1.96

99%

2.32

 

  • The colored area of the normal curve constitutes 5% of the total area under the curve.
  • There is 5% probability that the losses will lie in the colored area i.e. more than the VAR number.





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