莉莉 · 2021年10月24日
NO.PZ2018091701000079
问题如下：
Fund B has a VaR of $10 million at 1% for a year. It means:
选项： There is a
1% chance of losing $10 million over one year.
There is a 1% chance that the minimum loss is $10 million over the year.
C.There is a 99% chance that the expected loss over the year is smaller than $10 million.
解释：
B is correct.
考点：Understanding Value at Risk
解析：Value at Risk是minimum loss（1% chance）或maximum loss ( 99% chance)，而不是真实的损失或是预期损失，所以AC错。
请问为什么不选B呢?
NO.PZ2018091701000079问题如下 FunB ha Vof $10 million 1% for a year. It means: There is a 1% chanof losing $10 million over one year. There is a 1% chanththe minimum loss is $10 million over the year. There is a 99% chanththe expecteloss over the yeis smaller th$10 million. B is correct.考点Unrstanng Value Risk解析Value Risk是minimum loss（1% chance）或maximum loss ( 99% chance)，而不是真实的损失或是预期损失，所以AC错。C×的原因是因为expecteoss是专指对损失做期望么？也就是求loss的均值？
There is a 1% chanththe minimum loss is $10 million over the year. There is a 99% chanththe expecteloss over the yeis smaller th$10 million. B is correct. 考点Unrstanng Value Risk 解析Value Risk是minimum loss（1% chance）或maximum loss ( 99% chance)，而不是真实的损失或是预期损失，所以AC错。不是应该是最大损失是10么？
为什么不选C呢？上个同学问的老师的没有明白，讲义p131例题的正确说的就是”The minimum loss thwoulexpecteto occur....”
C 才是预期，答案不是应该选择C么，还是说如果B，C都正确的话，选择概率小的那个答案？
