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Value at Risk: Calculating the z score

Mar 19, 2015

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CIMA P3 is, as we all know, about risk.

One way of measuring risk is to calculate a Value at Risk (VaR) based on statistical theory.

This was examined 3 times under the 2010 syllabus and each time the confidence limit required was 95%. The 2015 OT exam is bringing out a question asking for a calculation of a 90% Value at Risk. If you haven't learnt the z score at 90% or can't read the table provided, this question will lose you marks.

Clare Finch is a Partner at HTFT and is the support tutor for CIMA P3, where she focused on looking after the issue of financial risk.

In this short recording Clare explains the whys and wherefores of the 90% z score.

VAR: Calculating the z score

The password for the video is: HTFTFREE

Please leave a comment or share this link if you find the video useful

HTFT Partnership



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