问题如下图:
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解释:
为什么第一题95%shi'yong是用1.96,这道题95%是1.645?
NO.PZ2016071602000003 问题如下 The T pension funreports totassets worth $19.6 billion anliabilities of $17.4 billion. Assume the surplus ha normstribution anvolatility of 10% per annum. The 95% surplus risk over the next yeis A.$360 million B.$513 million C.$2,860 million $3,220 million A is correct. The funs surplus is the excess of assets over liabilities,whi$19.6 — $17.4 = $2.2 billion. The surplus risk the 95% level over one yeis, assuming a normstribution, 1.645 x 10% x $2,200 = $360 million. Answer is incorrebecause it uses a 99% confinlevel. Answers an are incorrebecause they apply the risk to the liabilities anassets insteof the surplus. 如题
NO.PZ2016071602000003 问题如下 The T pension funreports totassets worth $19.6 billion anliabilities of $17.4 billion. Assume the surplus ha normstribution anvolatility of 10% per annum. The 95% surplus risk over the next yeis A.$360 million B.$513 million C.$2,860 million $3,220 million A is correct. The funs surplus is the excess of assets over liabilities,whi$19.6 — $17.4 = $2.2 billion. The surplus risk the 95% level over one yeis, assuming a normstribution, 1.645 x 10% x $2,200 = $360 million. Answer is incorrebecause it uses a 99% confinlevel. Answers an are incorrebecause they apply the risk to the liabilities anassets insteof the surplus. 老师解析里面的2200$怎么算出来的?就是算组合的σ
NO.PZ2016071602000003 问题如下 The T pension funreports totassets worth $19.6 billion anliabilities of $17.4 billion. Assume the surplus ha normstribution anvolatility of 10% per annum. The 95% surplus risk over the next yeis A.$360 million B.$513 million C.$2,860 million $3,220 million A is correct. The funs surplus is the excess of assets over liabilities,whi$19.6 — $17.4 = $2.2 billion. The surplus risk the 95% level over one yeis, assuming a normstribution, 1.645 x 10% x $2,200 = $360 million. Answer is incorrebecause it uses a 99% confinlevel. Answers an are incorrebecause they apply the risk to the liabilities anassets insteof the surplus. 为什么计算VAR,本题为Surplus risk,公式有的时候是=μ*z*σ?有的时候是=|μ-z*σ|?
surplus VAR是双尾还是单尾?可以把90% 95% 99%的单尾双尾系数都说一下么?有点混乱。。。