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5323金融与交易简单数值题short

Expected Carry Needed To Hit VaR Target

题目

A trading book's 1-day PnL is modeled as normal with mean mu and standard deviation 9 million. Risk reports define delta-normal VaR by VaR = z_alpha*sigma - mu. If z_0.95=1.645 and the desk wants reported 95% VaR to be exactly 12 million, what daily expected PnL mu is required?

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