### Table 1.5

##### October 22, 2011

My FM320 student Han Wang pointed out that Table 1.5 is not right. It is supposed to have a two tailed probability of outcomes, but the %1 number is 1-the one tailed prob, and the rest are one tailed. So, here are the correct numbers. Set the volatility to 1.16 as per Table 1.2, and get

1% | 0.3886496 |

2% | 0.08468295 |

3% | 0.009703866 |

5% | 1.630002e-05 |

15% | 3.007448e-38 |

23% | 1.721029e-87 |

```
2*pnorm(-23,sd=1.16)
```

##### Financial Risk Forecasting

Market risk forecasting with R, Julia, Python and Matlab. Code, lecture slides, implementation notes, seminar assignments and questions.© All rights reserved, Jon Danielsson,