臧小玉 · 2022年04月07日
NO.PZ2016072602000008
问题如下：
Suppose you are given the following information about the operational risk losses at your bank. What is the estimate of the VAR at the 95 % confidence level, including expected loss (EL)?
选项：
A.
USD 100,000
B.
USD 101,000
C.
USD 200,000
D.
USD 110,000
解释：
A is correct.
Because VAR should include EL, there is no need to compute EL separately. The table shows that the smallest loss such that the cumulative probability is 95% or more is $100,000.
倒数第二排*2不合理
NO.PZ2016072602000008问题如下 Suppose you are given the following information about the operationrisk losses your bank. Whis the estimate of the Vthe 95 % confinlevel, inclung expecteloss (EL)? US100,000 US101,000 US200,000 US110,000 A is correct. Because Vshoulinclu EL, there is no neeto compute EL separately. The table shows ththe smallest loss suththe cumulative probability is 95% or more is $100,000. 一般情况下算OR的VaR是不算EL的，但是这个题里面说了要包括EL，为什么不减去？
US101,000 US200,000 US110,000 A is correct. Because Vshoulinclu EL, there is no neeto compute EL separately. The table shows ththe smallest loss suththe cumulative probability is 95% or more is $100,000. 请问为什么发生20万损失的时候，计算概率不用乘以2，而110000时要乘以2呢
老师你好，都说了inclung EL ，咋个不减去呢，难道意思是V包含 el等于几？
请问这里为什么要乘以2？不是已经有乘以发生2次的概率了吗？
