NO.PZ2020033001000002
问题如下：
Assuming that Company A's profit and loss satisfy a normal distribution, its annual average value is $30 million and its standard deviation is $10 million. Which of the following statements about the calculation and interpretation of the 95% VaR value is correct?
选项：
A.5% probability that the company will lose at least $13.5 million.
B.5% probability that the company will earn at least $13.5 million.
C.95% probability that the company will lose at least $13.5 million.
D.95% probability that the company will earn at least $13.5 million.
解释：
D 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？
