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小猫批脸 · 2023年03月01日

关于 var的正负表示方法

  1. FRM II
  2. Market Risk Measurement And Management

NO.PZ2018122701000017

问题如下：

The annual mean and volatility of a portfolio are 10% and 40%, respectively. The current value of the portfolio is GBP 1,000,000. How does the 1-year 95% VaR that is calculated using a normal distribution assumption (normal VaR) compare with the 1-year 95% VaR that is calculated using the lognormal distribution assumption (lognormal VaR)?

选项：

A.

Lognormal VaR is greater than normal VaR by GBP 130,400

B.

Lognormal VaR is greater than normal VaR by GBP 175,900

C.

Lognormal VaR is less than normal VaR by GBP 130,400

D.

Lognormal VaR is less than normal VaR by GBP 175,900

解释：

C is correct.

考点 ： Parametric Estimation Approaches

解析：Normal VAR=0.1-(1.645×0.4）=0.558，

Lognormal VAR=1-exp[0.1-(1.645×0.4)]=0.4276

Hence, lognormal VaR is smaller than Normal VaR by 13.04% per year. With a portfolio of GBP 1,000,000, this translates to GBP 130,400 .

老师，按照咱们讲义里面的 -mean+z*sigma

  • 这个表达方式是不是就是算出来是正的 表达的就是损失
  • 算出来是负的 那就是【负的损失】--> 就是盈利？ （这是根据前面一道题总结出来的）


然后 我们平常用的 mean-z*sigema

  • 算出来的是负的就代表就是损失 只不过套了个绝对值来表达
  • 但是算出来是正的就说明是盈利的



请老师帮忙解答

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李坏_品职助教 · 2023年03月01日

嗨，从没放弃的小努力你好：


讲义里那个公式 -mean+z*sigma，这个如果算出来正的，代表是损失。如果是负的，那就是盈利（这个不太可能出现，因为VaR求的是极端情况下的损失，一般都是损失）


mean - z*sigma，这个算出来如果是负的，代表是损失，但我们需要用绝对值。如果是正的，就是盈利（一样，不太可能出现）。

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

小猫批脸 · 2023年03月02日

好的 谢谢老师 因为之前有一道题确实就是盈利 所以想着总结一下 同时理解的更彻底一些

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