Search results

  1. J

    P2.T8. Liquidity and Treasury Risk Measurement and Management

    Hi @David Harper CFA FRM , I know this is an old thread, by my notes are exactly the same as the screenshot provided in post #1. Is the example still relevant or has it not been updated yet? thank you
  2. J

    VaR calculation for Example of the LVAR p2.t8 page 6

    Just figured it out, I forgot to account for the return Correct calculation is: mu - z*sigma --> 0.05952 - 1.645*2.20479
  3. J

    VaR calculation for Example of the LVAR p2.t8 page 6

    P2.T8 page 6 (Example of the LVAR) At the risk of looking stupid here, I'm trying to calculate the VaRs in the table and I can't get the same value as shown in the table i.e. 95% daily VaR --> 1.645 * 2.20499% = 3.6268% but 3.567% in the table What am I missing here?
Top