UC知道有关CAR（Capital at Risk）的计算问题
来源：百度知道 编辑：UC知道 时间：2024/06/25 18:49:41
请看下面一道例题：
A firm has an expected profit of $5 million with a standard deviation on that profit of $7 million. If the firm has existing equity of $9 million, what is the probability that the firm will become insolvent next year?
1.This is two standard deviations variance from the mean or expected profit $14 million / $7 million=2
2.The chances of this happening are 2.28%=0.5-0.4772(0.4772是查正态分布表中的2得出的）
请高手帮我解释下，实在看不懂呀！$14=$9+$5是指什么？除以$7后又是指什么？
A firm has an expected profit of $5 million with a standard deviation on that profit of $7 million. If the firm has existing equity of $9 million, what is the probability that the firm will become insolvent next year?
1.This is two standard deviations variance from the mean or expected profit $14 million / $7 million=2
2.The chances of this happening are 2.28%=0.5-0.4772(0.4772是查正态分布表中的2得出的）
请高手帮我解释下，实在看不懂呀！$14=$9+$5是指什么？除以$7后又是指什么？
你现在的资本金是900万元,当你的公司亏损900万元(即利润为-900万元)时,你的公司就破产了.
因此,你的破产概率就是你公司的利润为-900万元的概率.
现在利润X服从正态分布N(500万,700万),你需要计算的破产概率就是Pr(X<-900).因此就是标准正态分布下的
F [ (-900-500)/700 ]=F[-2]=2.275%.
你在看英文的什么书啊? 北美精算师? 还是CFA? 呵呵.
经济资本(Capital at Risk,CaR)