No.PZ2020033001000002 (选择题)
来源: 品职出题
Assuming that Company A's profit and loss satisfy a normal distribution, its annual average value is $30 million and its standard deviation is $10 million. Which of the following statements about the calculation and interpretation of the 95% VaR value is correct?
您的回答A, 正确答案是: D
A
5% probability that the company will lose at least $13.5 million.
B
5% probability that the company will earn at least $13.5 million.
C
95% probability that the company will lose at least $13.5 million.
D
95% probability that the company will earn at least $13.5 million.
数据统计(全部)
解析
D is correct.
考点：Parametric Estimation Approaches
解析：95%的VaR=30-1.65*10=13.5m
这道题的计算结果非常特殊，VaR值计算结果为正，无需取绝对值，也就是说有95%的概率盈利至少为13.5million。
