PRMIA Exam 8008 Topic 1 Question 10 Discussion

Remember that VaR is merely a multiple of the portfolio's standard deviation. The multiple is determined by the confidence level, and for a 99% confidence level this multiple is 2.3264 (=-NORMSINV(1%) in Excel). Therefore one standard deviation at this level of confidence would be equal to VaR/2.3264.

In addition to the Z-value at 99% confidence, you should also remember what the Z value is for a 95% level of confidence, as PRM questions may expect you to know these. The standard Windows calculator allowed in the exam does not allow you to calculate these, so it is safer to just remember these values.