z-value for 99% VaR (2.33)
Definition · Level 9 · Risk & portfolio
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The number of standard deviations below the average that marks the worst 1% of outcomes on a normal curve (exactly 2.326), counting only the loss side (one-tailed). Two-sided 99% uses 2.58.
Example
Daily σ 1.2% → 99% one-day VaR ≈ 2.33 × 1.2% ≈ 2.8% of the position.
Where Tradecraft teaches it
Level 9 · Risk & portfolio, in the lesson “Value at risk (VaR)”: Compute parametric VaR from a z-value, scale it with the square root of time, and read what it does and does not say.
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