jacqie · 2022年04月05日
NO.PZ2020011303000050
问题如下：
The distribution of the losses from a project over one year has a normal loss distribution with a mean of −10 and a standard deviation of 20. What is the one-year VaR when the confidence level is (a) 95%, (b) 99%, and (c) 99.9%?
选项：
解释：
(a) 22.9, (b) 36.5, (c) 51.8.
如果是normal return distribution，答案是不是-10-1.645*20？
NO.PZ2020011303000050问题如下The stribution of the losses from a projeover one yeha normloss stribution with a meof −10 ana stanrviation of 20. Whis the one-yeVwhen the confinlevel is (95%, (99%, an(99.9%? (-10+1.645*20=22.9(-10+2.33*20=36.6 (-10+3.09*20=51.8一个项目的损失符合正态分布，mean=-10，σ=20，求1年的VaR当置信区间等于95%，99%，99.9%时。95% VaR=-10+1.645*20=22.999% VaR=-10+2.33*20=36.699.9% VaR=-10+3.09*20=51.8 老师您好，这是您对其他学生的解答，有个疑问，那要按照您的解答，首先在课程视频里建议就不要把VaR的公式讲成是｜均值-z*方差｜，因为对于没有学过金融的学生来讲会误解。还有如果按照您的意思，那加绝对值还有什么意义？既然｜均值+/-z*方差｜我们只取正值，因为不加绝对值正值代表损失，负值代表收益，拿每次计算VaR我们都应该用｜均值+/-z*方差｜然后取正值。
NO.PZ2020011303000050问题如下The stribution of the losses from a projeover one yeha normloss stribution with a meof −10 ana stanrviation of 20. Whis the one-yeVwhen the confinlevel is (95%, (99%, an(99.9%? (-10+1.645*20=22.9(-10+2.33*20=36.6 (-10+3.09*20=51.8一个项目的损失符合正态分布，mean=-10，σ=20，求1年的VaR当置信区间等于95%，99%，99.9%时。95% VaR=-10+1.645*20=22.999% VaR=-10+2.33*20=36.699.9% VaR=-10+3.09*20=51.8 Var是正数，但是公式为U-zq这个公式不应该变成加号。谢谢
NO.PZ2020011303000050问题如下The stribution of the losses from a projeover one yeha normloss stribution with a meof −10 ana stanrviation of 20. Whis the one-yeVwhen the confinlevel is (95%, (99%, an(99.9%? (-10+1.645*20=22.9(-10+2.33*20=36.6 (-10+3.09*20=51.8一个项目的损失符合正态分布，mean=-10，σ=20，求1年的VaR当置信区间等于95%，99%，99.9%时。95% VaR=-10+1.645*20=22.999% VaR=-10+2.33*20=36.699.9% VaR=-10+3.09*20=51.8 请补充损失分布下计算极端值的公式？感谢？
NO.PZ2020011303000050问题如下The stribution of the losses from a projeover one yeha normloss stribution with a meof −10 ana stanrviation of 20. Whis the one-yeVwhen the confinlevel is (95%, (99%, an(99.9%? (-10+1.645*20=22.9(-10+2.33*20=36.6 (-10+3.09*20=51.8一个项目的损失符合正态分布，mean=-10，σ=20，求1年的VaR当置信区间等于95%，99%，99.9%时。95% VaR=-10+1.645*20=22.999% VaR=-10+2.33*20=36.699.9% VaR=-10+3.09*20=51.8 在例题中很含糊，Z应该是正数还是负数？公式到底是加ZQ 还是减去呢？十分困扰。谢谢。结果完全不对。
