来自：FRM > 二级 > Risk Management and Investment Management 2020-09-25 23:40
老师，这题答案选哪个
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yukexincaish
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1536天前
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yukexincaish
提问
114
上次登录
1536天前
jason 2020-09-26 10:52
致精进的你:
同学，这个题目选项出了点问题，没有正确选项。Expected surplus growth = $165m ×(1+ 0.078) - $150m × (1+0.045)=21.12m Variance of surplus = 355.104，Standard Deviation = 18.84m Surplus at risk = expected growth in surplus – 1.65 × Standard Deviation of Surplus Surplus at risk = $21.12m - 1.65*$18.84m = -$9.97m Note: Although it is a negative, it is usually expressed as a positive figure as it is assumed that it is a shortfall.
The real talent is resolute aspirations.
真正的才智是刚毅的志向。
追问12020-09-26 11:16
老师，这个值应该是21.12—（165-150）=6.12吧
回答2020-09-26 16:20
同学， expected growth in surplus是前面算出来的Expected surplus growth = $165m ×(1+ 0.078) - $150m × (1+0.045)=21.12m
