开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)｜3.2.5(安卓)APP下载

返回

moon · 2019年09月19日

问一道题：NO.PZ2016071602000003

  1. FRM II
  2. Risk Management And Investment Management

问题如下图：

    

选项：

A.

B.

C.

D.

解释：


为什么第一题95%shi'yong是用1.96，这道题95%是1.645？

添加评论
1 个答案

品职答疑小助手雍 · 2019年09月20日

同学你好，这题是用1.645啊。前一题我没找到，不过1.96对应的是单尾97.5%或者双尾95%，你看看前一题需要的分位点是这两个中的哪个。

  • 1

    回答

  • 0

    关注

  • 347

    浏览
相关问题

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. 如题

2024-03-18 16:57 1 · 回答

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

2022-11-12 16:46 1 · 回答

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|？

2022-07-14 23:21 3 · 回答

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。。。

2019-10-26 14:15 1 · 回答