问题如下:
A researcher using the POT approach observes the following parameter values: β = 0.9, ξ = 0.15, u = 2% and Nu/n = 4%. The 5% VaR in percentage terms is:
选项:
A.1.034.
B.1.802.
C.2.204.
D.16.559.
解释:
B is correct.
按答案给的公式代入计算,算的结果没选项啊。我计算得5.4.。。