4916数理金融中等数值题short
Infer Normal Parameters From VaR And ES 1
题目
A desk assumes losses are normal with mean mu and standard deviation sigma. At alpha=0.95 it uses VaR = mu + z*sigma and ES = mu + k*sigma with z=1.645 and k=2.063. If the reported VaR is 7.58 and ES is 9.252, what are mu and sigma?
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mu
sigma