So back in the day, they taught us the 68 - 95- 99.7 rule. Now in the CFAI curiculum, not sure what we need to know in terms of standard deviation multiplers for levels of significance. Does any one here have any hard and fast rules? The one place I frequenlty see it is for the VAR analytical- variance method where you take (E® - (X) st dev) * Portfolio. What is X if they ask for 99% or 95% significance?
Remember these two “z” scores
5% VaR = 1.65
1% VaR = 2.33