4920数理金融中等数值题short
Infer Normal Parameters From VaR And ES 5
题目
A desk uses alpha=0.99 with z=2.326 and k=2.665 in the formulas VaR = mu + z*sigma and ES = mu + k*sigma. If VaR is 15.156 and ES is 17.19, what are mu and sigma?
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mu
sigma