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FRM考试题交流
2006FRM真题3
A risk manager for ABC bank has compiled the following date regarding a bond trader and an equity trader. Assume that the returns are normally distributed and that there are 52 trading weeks per year. ABC bank computes its capital using a 99% VAR, the after tax profits are all inclusive
After tax profit Net bok market value Weekly volatility tax rate
bond trader USD 8 USD 120 1.1% 40%
equity trader USD 18 USD 180 1.94% 40%
上面的真题说收益服从正态分布,但是没有说明均值和方差,怎么计算VAR哪?VAR=|均值-标准差*consant|,在答案中,显然把均值当作0了,请问是怎么回事情,并且handbook里面的例题也是既定正态分布后认为均值为0,请问是怎么会事情? |
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