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Olivia.W🌸 · 2024年04月04日

var不是可以确定的最大损失吗?

NO.PZ2023021601000089

问题如下:

If a company has a one-day 5% Value at Risk of $1 million, this means: (原版书)

选项:

A.5% of the time the firm is expected to lose at least $1 million in one day.

B.95% of the time the firm is expected to lose at least $1 million in one day.

C.5% of the time the firm is expected to lose no more than $1 million in one day.

解释:

The VaR measure indicates the probability of a loss of at least a certain level in a time period.

var不是可以确定的最大损失吗?1million不是最大的损失吗?

1 个答案

Kiko_品职助教 · 2024年04月06日

嗨,爱思考的PZer你好:


var可以有两种解释,以这道题为例,可以说5%的概率最小损失是1m,也可以说95%的概率最大损失是1m。

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虽然现在很辛苦,但努力过的感觉真的很好,加油!

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