NO.PZ2024120401000006 问题如下 The monthly return on a hee funportfolio with US 1 billion in assets is N(0.02, 0.0003). Whwoulthe line of cret neeto to ensure ththe firm’s loss wless ththe line of cret in 99.9% of months (or equivalently, larger ththe LOC in 0.1% of months) ?Note: Pr(Z ＜ z) = 99.9% means z= -3.09 A.17.3 million B.33.46 million C.20 million 60 million The monthly change in portfolio value will also normally stributewith a meof 0.02 * US1 billion = US20 million ana varianof 0.0003 * 1 billion2 = 300 trillion. The stanr viation of the gain will US17.3 million.First, we finthe quantile where Pr(Z ＜ z) = 99.9%, whigives z =-3.09. This is then scaleto the stribution of the change in the value of the portfolio multiplying the stanrviation anaing the mean, 17.3 *(-3.09) + 20 = -33.46. The funwoulneea line of cret of US33.46 million to have a 99.9% chanof having loss below this level. 讲一下怎么做
NO.PZ2024120401000006问题如下 The monthly return on a hee funportfolio with US 1 billion in assets is N(0.02, 0.0003). Whwoulthe line of cret neeto to ensure ththe firm’s loss wless ththe line of cret in 99.9% of months (or equivalently, larger ththe LOC in 0.1% of months) ?Note: Pr(Z ＜ z) = 99.9% means z= -3.09 A.17.3 millionB.33.46 millionC.20 million60 million The monthly change in portfolio value will also normally stributewith a meof 0.02 * US1 billion = US20 million ana varianof 0.0003 * 1 billion2 = 300 trillion. The stanr viation of the gain will US17.3 million.First, we finthe quantile where Pr(Z ＜ z) = 99.9%, whigives z =-3.09. This is then scaleto the stribution of the change in the value of the portfolio multiplying the stanrviation anaing the mean, 17.3 *(-3.09) + 20 = -33.46. The funwoulneea line of cret of US33.46 million to have a 99.9% chanof having loss below this level. 这题给的均值方差单位是不是不一样啊？这样算出来一个20另一个只有0.3；notes里面应该是P Z＞z=99.9 或者P Z＜z=0.1 否则z是正的3.09吧？
NO.PZ2024120401000006 问题如下 The monthly return on a hee funportfolio with US 1 billion in assets is N(0.02, 0.0003). Whwoulthe line of cret neeto to ensure ththe firm’s loss wless ththe line of cret in 99.9% of months (or equivalently, larger ththe LOC in 0.1% of months) ?Note: Pr(Z ＜ z) = 99.9% means z= -3.09 A.17.3 million B.33.46 million C.20 million 60 million The monthly change in portfolio value will also normally stributewith a meof 0.02 * US1 billion = US20 million ana varianof 0.0003 * 1 billion2 = 300 trillion. The stanr viation of the gain will US17.3 million.First, we finthe quantile where Pr(Z ＜ z) = 99.9%, whigives z =-3.09. This is then scaleto the stribution of the change in the value of the portfolio multiplying the stanrviation anaing the mean, 17.3 *(-3.09) + 20 = -33.46. The funwoulneea line of cret of US33.46 million to have a 99.9% chanof having loss below this level. 老师你好，这题我就没太明白啥意思，能给讲讲不，谢谢
