Surplus at risk

mbbx5va2

Member
Hi

I have a question on calculating surplus at risk which states that formula to get this is MU - SIGMA x Z but another question says "compute at 95% confidence level that surplus value will be less than X" i.e what is X, for this final answer we use MU + SIGMA x Z. Why the difference in the formula for both questions?

gsarm1987

Member
Subscriber
@mbbx5va2 Jorion writes it as VAR = - Mu + Sigma*z, please let me know where you see these other two forms that you have mentioned. Just adding a known fact here, its cumulative st normal dist, so its one tailed. I hope it will get clearer now