问题如下：
Assume the profit/loss distribution for XYZ is normally distributed with an annual mean of $20 million and a standard deviation of $10 million. The 5% VaR is calculated and interpreted as which of the following statements?
选项：
A.5% probability of losses of at least $3.50 million.
B.5% probability of earnings of at least $3.50 million.
C.95% probability of losses of at least $3.50 million.
D.95%probability of earnings of at least $3.50 million.
解释：
D is correct. The value at risk calculation at 95% confidence is: -20 million + 1.65 x 10 million = -$3.50 million. Since the expected loss is negative and VaR is an implied negative amount, the interpretation is that XYZ will earn less than +$3.50 million with 5% probability, which is equivalent to XYZ earning at least $3.50 million with 95% probability.
- 按照VaR 的定义理解，95% 的最大损失是-3.5m, 那不是说其它损失都比这个小吗？比如：-3.4，-2,等等，那反过来不就是应该是最大收益是3.5m？
- 为什么5% 的Var 可以用95% 解释呢？这两个的关系是相反的关系是吗？就是95% 的最大损失=5%的最小损失；或者95% 的最大收益=5%的最小收益？是这样理解吗？
