VAR

问题如下：

Anna, FRM, an analyst in Zack Corporation, is determining the value at risk (VaR) for the corporation's profit/loss distribution. The distribution is assumed to be normally distributed with an annual mean of $2 million and a standard deviation of $1 million. What is the VaR with a 99% confidence level if a parametric approach is applied?

选项：

$0.01 million.

$0.33 million.

$1.33 million.

$2.33 million.

解释：

B is correct.

考点：Parametric Estimation Approaches

解析：

The population mean and standard deviations are unknown; therefore, the standard normal z-value of 2.33 is used for a 99% confidence level.

VaR(1%) = -2.0 million + ($1 million)(2.33) = -2.0 million + 2.33 million =0.33 million.