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hbc0728 · 2021年08月07日

请问老师A为什么不对?

NO.PZ2020033001000002

问题如下:

Assuming that Company A's profit and loss satisfy a normal distribution, its annual average value is $30 million and its standard deviation is $10 million. Which of the following statements about the calculation and interpretation of the 95% VaR value is correct?

选项:

A.

5% probability that the company will lose at least $13.5 million.

B.

5% probability that the company will earn at least $13.5 million.

C.

95% probability that the company will lose at least $13.5 million.

D.

95% probability that the company will earn at least $13.5 million.

解释:

D is correct.

考点:Parametric Estimation Approaches

解析:95%的VaR=30-1.65*10=13.5m

这道题的计算结果非常特殊,VaR值计算结果为正,无需取绝对值,也就是说有95%的概率盈利至少为13.5million。

请问老师A为什么不对?

mumu榕 · 2022年01月28日

如果A的描述换成5%的最大盈利是13.5m,是正确的吗

2 个答案

品职答疑小助手雍 · 2022年01月28日

不正确,最大盈利就应该把收益从高往低排,那5%最大的盈利肯定是比均值高的。

13.5这个说的是最差的5%里面,最好的情况是盈利13.5。

理解了这个意思之后,怎么描述是语言问题,不是知识点计算的问题。

品职答疑小助手雍 · 2021年08月07日

嗨,从没放弃的小努力你好:


因为95%的分位点是正值,所以D没错哈。

用A的说法应该是loss at least -13.5M。 既然是收益只能说成是负的loss。

----------------------------------------------
虽然现在很辛苦,但努力过的感觉真的很好,加油!

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