4928数理金融中等数值题short
Infer Pareto Tail Index From ES To VaR Ratio 13
题目
For a Pareto tail, suppose ES/VaR = alpha/(alpha-1). If VaR is 8 and ES is 12, what tail index alpha is implied?
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题目
For a Pareto tail, suppose ES/VaR = alpha/(alpha-1). If VaR is 8 and ES is 12, what tail index alpha is implied?
解题计时
0:00
提交作答时记录，用于后续平均用时统计。
你的答案