题目
Your staff has determined that your 95% daily VaR model is perfectly accurate: on any given day, the probability that the loss exceeds VaR is 5%. What is the probability that next month, which has 20 trading days, VaR will be exceeded on two days or less?
选项
A.86.47%
B.91.97%
C.92.45%
D.99.99%
答案
C
解析
p[X=0]＋p[X=1]＋ p[X=2] = 35.85% ＋ 37.74% ＋ 18.87% p[X=0]＋ p[X=1]＋ p[X=2] = 35.85% ＋ 37.74%＋ 18.87%