问一道题：NO.PZ2016072602000060

为何是除以95%对应的1.645？另外，，2.323是什么？

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orange品职答疑助手 · 2018年10月14日

1.645是95%的分位数，2.323应该是99%分位数的意思，这里不太好，用2.33会更好些

题目里给的两个VaR都是95%的VaR，首先我们要将两者做一个对比，选出3*20000的那个更好。但请注意，这是在95%下的VaR。在比大小的时候，只要分位数的标准相同，不论是95%还是99%都可以，因为我们的目的是找到一个更大的。但在选完了之后要计算的时候，还是得把95%的VaR给转换成99%的，所以就先除以95%，再*99%。

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NO.PZ2016072602000060 问题如下 a risk manager for Bank ABJohn is asketo calculate the market risk capitcharge of the bank’s trang portfolio unr the 1996 internmols approach. The V(95%, one-y) of the last trang y is US30,000; the average V(95%, one-y) for the last 60 trang ys is US20,000. The multiplier is k=3. Assuming the return of the bank’s trang portfolio is normally stribute whis the market risk capitcharge of the trang portfolio? US84,582 US189,737 US268,200 US134,594 C is correct. The average Vtimes 3 is US60,000. Because this is higher thyestery's VAR, this is the binng number. Multiplying 10\sqrt{10}10 x 2.323/1.645 = 4.47 gives US268,200. the market risk capitcharge 就是理解为 V capitloss?

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问一道题：NO.PZ2016072602000060

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