Question: I have gotten a question regarding VaR. It is because inconsistency in explaining VaR that happened from my current lecturer (Risk Management Models). I have

I have gotten a question regarding VaR. It is because inconsistency in explaining VaR that happened from my current lecturer (Risk Management Models). I have sent him an email and he has not replied yet. I decided to ask you since you are holding CFA certification. I think I have an over-interest in finance subjects, I am sorry if this bothers you.

I have learnt that to find VaR is with Z-value times the SD of the share.

I simply used =norm.inv(0.05,0,1) to find the z-value for 95% VaR and used the z-value times the SD to find VaR.

Today, he explained to find VaR 95% is with =norm.inv(0.05,the sample mean,the SD of the share). This formula shows a different result with the "Z times SD".

I believe he had misdescribed the VaR becausewe are calculating the parametric VaR, whereas, it is a normal distribution and the mean value is assumed to be ZERO.

What do you think about this?

For more information, I have attached a document.

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