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Shuangshuang · 2023年12月29日

如果算出来是负的就是5%的概率损失超过u-1.65z,如果是正的就是95%的概率收益大于u-1.65z是么

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。

老师好,如题

1 个答案

品职答疑小助手雍 · 2023年12月30日

同学你好,对的~

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NO.PZ2020033001000002 问题如下 Assuming thCompany A's profit anloss satisfy a normstribution, its annuaverage value is $30 million anits stanrviation is $10 million. Whiof the following statements about the calculation aninterpretation of the 95% Vvalue is correct? A.5% probability ththe company will lose least $13.5 million. B.5% probability ththe company will earn least $13.5 million. C.95% probability ththe company will lose least $13.5 million. 95% probability ththe company will earn least $13.5 million. 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。 那如果VAR是负就代表5%的概率损失超过数值,如果是正的就是95%的概率收益超过数值。应用到本题,不应该是5%的概率,损失超过13.55么?请问哪里理解不正确?

2024-10-08 13:50 2 · 回答

公式显示不正确 这个公式不应该用-U+ZV吗

2024-08-26 14:37 1 · 回答

公式显示不正确 这个公式不应该用-U+ZV吗

2024-08-26 14:37 1 · 回答

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2023-07-20 16:51 1 · 回答