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来自:FRM > 一级 > Valuation and Risk Management 2020-02-13 20:51
老师,这道题可以麻烦求下吗? The distribution of the losses from a project over one year has a normal distribution with a mean of -10 and a standard deviation of 20. Var 95%?
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融跃FRM答疑老师    2020-02-13 22:37

致精进的你:

95%var的关键值是1.65. var(95%)=1.65*sigma=1.65*20

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