NO.PZ2020011303000050
问题如下:
The distribution of the losses from a project over one year has a normal loss distribution with a mean of −10 and a standard deviation of 20. What is the one-year VaR when the confidence level is (a) 95%, (b) 99%, and (c) 99.9%?
选项:
解释:
(a) 22.9, (b) 36.5, (c) 51.8.
如果是normal return distribution,答案是不是-10-1.645*20?