VAR = k x standard deviation x square root of periods
K is the probability level and is given in all solutions with 1.645 for the 95% confidence interval i.e. 5% VAR.
How do I find out k? Is anywhere a table with the relevant values?
The world wide web suggests that this equals the so called Z-scores but which is given with 1.96 for the 95% level....
Confidence level value is not so difficult. for example if it is 90% confidence then looking at the normal distribution table we deduct 0.5, remaining is 0.4 looking at the table we get value.
That value when multiplied by the sd and root square time, we get the expected decrease in value of the project over the period. it is 90 percent confident that the project value will not decrease by more than that value. Please write me to email@example.com if you have any further questions or you want more clarification on any topics.