正常情况下算VAR,是不是应该用WCL—EL?
问题如下图:
选项:
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解释:
NO.PZ2016072602000008问题如下 Suppose you are given the following information about the operationrisk losses your bank. Whis the estimate of the Vthe 95 % confinlevel, inclung expecteloss (EL)? US100,000 US101,000 US200,000 US110,000 A is correct. Because Vshoulinclu EL, there is no neeto compute EL separately. The table shows ththe smallest loss suththe cumulative probability is 95% or more is $100,000. 一般情况下算OR的VaR是不算EL的,但是这个题里面说了要包括EL,为什么不减去?
NO.PZ2016072602000008问题如下 Suppose you are given the following information about the operationrisk losses your bank. Whis the estimate of the Vthe 95 % confinlevel, inclung expecteloss (EL)? US100,000 US101,000 US200,000 US110,000 A is correct. Because Vshoulinclu EL, there is no neeto compute EL separately. The table shows ththe smallest loss suththe cumulative probability is 95% or more is $100,000. 倒数第二排*2不合理
US101,000 US200,000 US110,000 A is correct. Because Vshoulinclu EL, there is no neeto compute EL separately. The table shows ththe smallest loss suththe cumulative probability is 95% or more is $100,000. 请问为什么发生20万损失的时候,计算概率不用乘以2,而110000时要乘以2呢
老师你好,都说了inclung EL ,咋个不减去呢,难道意思是V包含 el等于几?
请问这里为什么要乘以2?不是已经有乘以发生2次的概率了吗?