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The ABC Retirement Fund has $300m in assets and $290m in liabilities. Assume that the expected return on the surplus scaled by assets is 5%. This means that the surplus is expected to grow by $18m over the first year. The volatility of the surplus is 10%. Using a Z-Score of 1.65, compute VAR and the associated deficit that would occur with the loss associated with the VAR.
A.
B.
C.
D.
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