NO.PZ2020033001000002
问题如下：
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?
选项：
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.
解释：
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。
比如，如果计算VaR，按照理论是否永远可以用U--ZQ。另外，收益和损失分布如何区别？如何判断是收益分布还是损失分布？分布不同是否计算公式不同？这个问题从一级就没有弄清楚。非常困惑。烦请解答，谢谢。
