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

7/25/2019 Probabilities & Delta Normal VaR

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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

7/25/2019 Probabilities & Delta Normal VaR

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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