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lion · 2023年05月08日

求解释

  1. FRM I
  2. Valuation And Risk Models

NO.PZ2020011303000054

问题如下：

A one-year project has a 3% chance of losing USD 10million, a 7% chance of losing USD 3 million, and a 90% chance of gaining USD 1 million.

Suppose that there are two independent identical investments with the properties.

What are (a) the VaR and (b) the expected shortfall for a portfolio consisting of the two investments when the confidence level is 95% and the time horizon is one year?

解释：

有一个项目，3%的概率会损失10m，7%损失3m，90%概率会获得1m，假设这俩投资都是独立相同的，求95%置信区间下1年的VaR和ES？

Losses (USD) of 20, 13, 9, 6, 2, and −2 have probabilities of 0.0009, 0.0042, 0.054, 0.0049, 0.126, and 0.81, respectively.

95%VaR=9

95%ES=[0.0009×20+0.042×13+(0.05-0.0009-0.0042)×9]/0.05=9.534

老师这个题能画个图吗

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1 个答案

DD仔_品职助教 · 2023年05月09日

嗨，努力学习的PZer你好：


同学你好，

具体请看下图：

----------------------------------------------
虽然现在很辛苦，但努力过的感觉真的很好，加油！

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