Hybrid VaR - Interpolation

[modigliani]

Anybody using Schweser? I have a problem with Interpolation. Page 22. Schweser is using 4,7 as starting point. for revised VaR they are using the midpoint - here 3,5 - to get the value for 5% percentile. I guess there is some inconsistency?! Why its here not 4,4 or for the second not 3,6?

 

[David Harper CFA FRM]

@modigliani i've tried to answer this here I think https://forum.bionicturtle.com/threads/calculating-revised-var-hybrid-approach.9857/