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hbc0728 · 2021年08月07日

请问老师A为什么不对？

  1. FRM II
  2. Market Risk Measurement And Management

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？

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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。

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

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