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yutripley · 2019年10月26日

这道题95%为什么是用1.65而不是1.96？问一道题：NO.PZ2016071602000003 [ FRM II ]

  1. FRM II
  2. Risk Management And Investment Management

surplus VAR是双尾还是单尾？可以把90% 95% 99%的单尾双尾系数都说一下么？有点混乱。。。问题如下图：

选项：

A.

B.

C.

D.

解释：

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品职答疑小助手雍 · 2019年10月26日

同学你好，var和surplus at rsik都是单尾的，如果你遇到practice exam有个双尾的是因为它问的是interval不是surplus at risk。对应系数单尾95%是1.645，单尾99%是2.33 双尾90是1.645，双尾95是1.96，双尾99是2.58

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