4918数理金融中等数值题short
Infer Normal Parameters From VaR And ES 3
题目
A risk report uses alpha=0.975 with z=1.96 and k=2.338 in the formulas VaR = mu + z*sigma and ES = mu + k*sigma. If VaR is 11.8 and ES is 13.69, what are mu and sigma?
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mu
sigma