问一道题：NO.PZ2016070201000002

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：

5% probability of losses of at least $3.50 million.

5% probability of earnings of at least $3.50 million.

95% probability of losses of at least $3.50 million.

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.