4917数理金融中等数值题short
Infer Normal Parameters From VaR And ES 2
题目
A normal-loss desk uses alpha=0.99 with VaR = mu + z*sigma and ES = mu + k*sigma, where z=2.326 and k=2.665. If VaR is 7.478 and ES is 8.495, what are mu and sigma?
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mu
sigma