When determining the Var99% levels for each business unit, the solution says we add the sigma*critical value to the mean.
But the mean is profit (not loss), so why would we include expected profit as contributing to capital held? This doesn't make sense, shouldn't expected profits deduct form capital held. If say we had 100% certainty we'd make $10 in profit. According to this method, we'd hold $10 in capital, when we wouldn't need to?
Why wouldn't the VaR99% = mean profit - critical value * sigma ?
But the mean is profit (not loss), so why would we include expected profit as contributing to capital held? This doesn't make sense, shouldn't expected profits deduct form capital held. If say we had 100% certainty we'd make $10 in profit. According to this method, we'd hold $10 in capital, when we wouldn't need to?
Why wouldn't the VaR99% = mean profit - critical value * sigma ?
2014 #22
0 commentaires:
Enregistrer un commentaire