2013 Mock – Q 15.

Isn’t 5% confidence interval comes to 1.96? Question has used 1.65

What am I missing here?

one sided, two sided

It doesn’t clearly say to use one sided or two sided.

Are you using for VAR? If so, one-sided, since you’re only concerned with how much money you can lose, you don’t consider it a “value at risk” if you gain more than 5%.

1recho: you meant 95%, right ? 5% seems small . The market regularly does 1% nowadays

My bad, the 5% is the chance that you will gain/lose, nothing to do with how much you will gain/lose.

I should have said “you don’t consider it a “value at risk” if there is a less than 5% chance that you will gain a huge amount.”