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Project value at risk - values of k at different confidence levels differ from the public sources?

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Project value at risk - values of k at different confidence levels differ from the public sources?

Hello,

In BPP's P4 Study Text and Revision Kit they refer to VaR as kσ√N, stating the following values for "k":
at 99% confidence level - 2.33;
at 95% confidence level - 1.645 (Study Text p.170);
at 90% confidence level - 1.28 (Revision Kit Q35 Riviere).
At the same time according to the public sources, the "k" (or "z") values for different confidence values are as follows:
at 99% confidence level - 2.576;
at 95% confidence level - 1.96;
at 90% confidence level - 1.645;
at 80% confidence level - 1.28.
(Looks as if the values referred by the BPP books were a little bit shifted along the scale of probabilities).

Do you probably know which values have to be used at the exam? As the BPP books do not expressly list the values, I'm afraid to use them at the exam, at the same time I'm not sure whether they deduct any points if I use the values available in the public sources (eg. here: https://en.wikipedia.org/wiki/Standard_deviation )

Thank you:
Marina

November 14th 2017 AN ACCA USER 120 Points

1 Reply

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Confidence # of Standard Deviations (σ)
95% (high) - 1.65 x σ
99% (really high) - 2.33 x σ

Read more: An Introduction To Value at Risk (VAR) https://www.investopedia.com/articles/04/092904.asp#ixzz4z6iPJUxz
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