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罗小胖 · 2023年10月01日

为什么，没懂

  1. FRM I
  2. Valuation And Risk Models

NO.PZ2023091701000096

问题如下：

A risk manager is estimating the 1-day 95% VaR on a domestic equity portfolio using a 100-day lookback period. The mean return, estimated from the historical data, is 0% with a standard deviation of 2%. The six most extreme negative returns over the lookback period, along with the time they occurred, are:


Over a period of 10 days after the risk manager computed the portfolio’s VaR, four new extreme declines occurred: -25%,-4.1%, -7.8% and -9.5%. On the other six days, the portfolio experienced positive returns. The risk manager must now update the previous VaR estimate to account for these changes. Assuming the portfolio has a current value of USD 100 million, what is the updated 1-day 95% VaR using the historical approach?

选项：

A.USD 3.28 million B.USD 4.70 million C.USD 10 million D.USD 25 million

解释：

为什么不是-10

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1 个答案

李坏_品职助教 · 2023年10月01日

嗨，努力学习的PZer你好：


题目说的是要用historical approach计算更新后的（updated）1天的95%的VaR。

题目本来就有100个return数据，现在新加入了：-25%,-4.1%, -7.8% and -9.5%这几个数据，这样样本容量就超过100了。所以需要剔除一些距离现在最久远的数据，然后重新计算排在第5名的损失值（95%的置信度对应着5%的损失阈值，5%*100=5）。


加入几个新数据之后，损失值排名如下：-25%，-10%，-9.5%，-7.8%，-6.3%，-4.7%，注意这里面的-10%是95天之前的老数据，所以要剔除。那么剩下的数据里面，-4.7%正好排在第五名，所以VaR就是|-4.7%*100million| = 4.7million

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NO.PZ2023091701000096 问题如下 A risk manager is estimating the 1-y 95% Von amestic equity portfolio using a 100-y lookbaperio The mereturn,estimatefrom the historictis 0% with a stanrviation of 2%. Thesix most extreme negative returns over the lookbaperio along with the timethey occurre are:Over a perioof 10 ys after the risk managercomputethe portfolio’s VaR, four new extreme clines occurre -25%,-4.1%,-7.8% an-9.5%. On the other six ys, the portfolio experiencepositivereturns. The risk manager must now upte the previous Vestimate to accountfor these changes. Assuming the portfolio ha current value of US100million, whis the upte1-y 95% Vusing the historicapproach? A.US3.28 million B.US4.70 million C.US10 million US25 million -4.7%在题目中表示return,VAR=E(r)-z*volatility=-4.7%-1.65*2%,为什么-4.7%表示VAR?

2023-11-01 18:46 1 · 回答