NO.PZ2020033001000002 问题如下 Assuming thCompany A's profit anloss satisfy a normstribution, its annuaverage value is $30 million anits stanrviation is $10 million. Whiof the following statements about the calculation aninterpretation of the 95% Vvalue is correct? A.5% probability ththe company will lose least $13.5 million. B.5% probability ththe company will earn least $13.5 million. C.95% probability ththe company will lose least $13.5 million. 95% probability ththe company will earn least $13.5 million. is correct. 考点Parametric Estimation Approaches 解析95%的VaR=30-1.65*10=13.5m这道题的计算结果非常特殊,VaR值计算结果为正,无需取绝对值,也就是说有95%的概率盈利至少为13.5million。 那如果VAR是负就代表5%的概率损失超过数值,如果是正的就是95%的概率收益超过数值。应用到本题,不应该是5%的概率,损失超过13.55么?请问哪里理解不正确?
公式显示不正确 这个公式不应该用-U+ZV吗
NO.PZ2020033001000002 问题如下 Assuming thCompany A's profit anloss satisfy a normstribution, its annuaverage value is $30 million anits stanrviation is $10 million. Whiof the following statements about the calculation aninterpretation of the 95% Vvalue is correct? A.5% probability ththe company will lose least $13.5 million. B.5% probability ththe company will earn least $13.5 million. C.95% probability ththe company will lose least $13.5 million. 95% probability ththe company will earn least $13.5 million. is correct. 考点Parametric Estimation Approaches 解析95%的VaR=30-1.65*10=13.5m这道题的计算结果非常特殊,VaR值计算结果为正,无需取绝对值,也就是说有95%的概率盈利至少为13.5million。 老师好,如题
NO.PZ2020033001000002问题如下 Assuming thCompany A's profit anloss satisfy a normstribution, its annuaverage value is $30 million anits stanrviation is $10 million. Whiof the following statements about the calculation aninterpretation of the 95% Vvalue is correct? A.5% probability ththe company will lose least $13.5 million.B.5% probability ththe company will earn least $13.5 million.C.95% probability ththe company will lose least $13.5 million.95% probability ththe company will earn least $13.5 million. is correct. 考点Parametric Estimation Approaches 解析95%的VaR=30-1.65*10=13.5m这道题的计算结果非常特殊,VaR值计算结果为正,无需取绝对值,也就是说有95%的概率盈利至少为13.5million。 比如,如果计算VaR,按照理论是否永远可以用U--ZQ。另外,收益和损失分布如何区别?如何判断是收益分布还是损失分布?分布不同是否计算公式不同?这个问题从一级就没有弄清楚。非常困惑。烦请解答,谢谢。