5% level 不是对应1.96吗？

问题如下：

Later that day, Woolridge receives an e-mail from Alexander asking her to estimate the dollar VaR at the 5% level for the firm’s developing market equity fund. Woolridge estimates VaR using the parametric method (assuming normal distribution) with the following inputs:

Using the inputs in Exhibit 1, Woolridge’s estimate of VaR is most likely closest to:

选项：

A.

$6.5 million.

B.

$18.9 million.

C.

$10.5 million.

解释：

Step 1 Multiply the portfolio standard deviation by 1.65

0.013 × 1.65 = 0.0215

Step 2 Subtract the answer obtained in Step 1 from the expected return

0.0004 – 0.0215 = –0.0211

Step 3 Because VaR is expressed as a positive number, change the sign of step 2

Change –0.0211 to 0.0211

Step 4 Multiply the result in Step 3 by the value of the portfolio

$500,000,000 × 0.0211 = $10,525,000