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比如世界 · 2020年11月07日

问一道题:NO.PZ2020011303000050

问题如下:

The distribution of the losses from a project over one year has a normal loss distribution with a mean of 10 and a standard deviation of 20. What is the one-year VaR when the confidence level is (a) 95%, (b) 99%, and (c) 99.9%?

选项:

解释:

(a) 22.9, (b) 36.5, (c) 51.8.

var的分位点为啥是负数?

1 个答案

品职答疑小助手雍 · 2020年11月07日

嗨,爱思考的PZer你好:


var本来就是损失嘛,只是平时用正数表示损失,其实也就是负的收益。

这种题主要就记住分位点对应的1.65,2.33什么的就好了。

这题可能犯错的点可能会是因为这题的mean是负数,就按正态分布想就好了,比mean也就是-10再小1.65倍标准差的位置就是95%的var。也就是-10-1.65*20。说成损失就成了正数了。


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