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Danlei · 2021年11月20日

没理解正负号的区别

  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。

用题目解析中算出的结果如果理解成收益？

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DD仔_品职助教 · 2021年11月20日

嗨，努力学习的PZer你好：


收益均值是30m，是个正数，earning，标准差是10m。

95%的置信区间下，收率范围在均值开出1.65倍标准差，那么就是【30-1.65*10，30+1.65*10】，计算出来结果是【13.5,46.5】，都是正数，代表的是earning在95%的置信区间下是13.5到46.5，VAR是要看损失，但是这里都是收益，那我们就看最差的收益，就是13.5，也就是说95%最差的情况下收益是13.5，收益至少是13.5.

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