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欢欢 · 2021年12月26日

能否简单理解为,概率<50%的就是最小风险,而>50%就是最大风险

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问题如下:

If a company has a one-day 5% Value at Risk of $1 million, this means:

选项:

A.

5% of the time the firm is expected to lose at least $1 million in one day.

B.

95% of the time the firm is expected to lose at least $1 million in one day.

C.

5% of the time the firm is expected to lose no more than $1 million in one day.

解释:

A  is correct.

The VaR measure indicates the probability of a loss of at least a certain level in a time period.

如题。。。。。。。。。。。
1 个答案

Kiko_品职助教 · 2021年12月28日

嗨,爱思考的PZer你好:


我没看懂你问的问题,50%是哪里来的。这道题就是单纯的考察VaR的概念理解。

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