probabilities & delta normal var

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  • 7/25/2019 Probabilities & Delta Normal VaR

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  • 7/25/2019 Probabilities & Delta Normal VaR

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    VaR Delta Normal Method

    Stock / Currency Price

    Volatility

    Days

    Trd YrConfdence level - Proaility

    Delta o! "#tion

    $ day Vol

    Multi Day Vol

    Standard Deviation

    Tar%et !or Proailities

    Volatility Points

    side

    Do'nSide

    Probability to Standard Deviation

    Standard Deviation to Probability

    Probability of the price being below Target Price

    Probability of the price being above Target Price

    Probability of the price being reached at some point during the time frame

    Standard Deviation for the Time Period

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    Calculate Probability of anputs

    ( $)$*+, +,),, Current stock #rice

    $),. *,),,. nnual lo% normal sta

    0$ ** ctual Time #eriod in

    *+ *+ Time #eriod in days03. 30),, Tar%et Price 4may e

    -$),,

    $),,. !esults

    6),,,. *3)7$. Probability of the price b

    ,)6660$+,67 8+)6. Probability of the price b

    $)***7 30)7. Probability of the price b

    +)0. Standard Deviation for th

    ( 4,)$,$*5 ( $,)$*

    $),*788 (4,)$,$*5

    $)***7 Required inputs are:

    The curren

    03)$7. ,)6660$+ The annual

    $ 03)$7. The time #

    Tar%et Pric

    07),0.

    $)6*. ssum#tions9 The lo% normal di

    77)03.

    6),,,. This calculator is use!ul in order

    at the end o! the %iven #eriod)

    ;t is also use!ul !or calculatin% tha particular profit target will be achieved

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    tock Being at or Exceeding Target Price

    ndard deviation o! the stock -Volatility

    1 o! days2 'eeks or months

    o! *+2 1 o! 'eeks +*2 1 o! months $* ove or elo' current stock #rice5

    ing below Target Price ,)*+

    ing above Target Price

    ing reached at some point during the time frame

    e Time Period

    t stock #rice

    l lo% normal standard deviation o! the stock

    eriod in 'eeks

    triution is used 'ith the Re:ection Princi#le

    to estimate the #roailty that a stock 'ill e at a %iven #rice level

    e #roailty that a sto# loss at a #articular level 'ill e hit or that