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know the expected change in value, E(ΔV), and the standard deviation, σ(ΔV). From there one can compute VaR as VaR(1%) = E(ΔV) - 2.33σ(ΔV) VaR(5%) = E(ΔV) - 1.65σ(ΔV) These numbers, 2.33 and 1.65, represent the number of standard deviations to the left of the expected value that leave 1 percent and