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陶朱 · 2024年05月02日

为什么不是尾部4个值取平均作为99%的Var

  1. FRM I
  2. Valuation And Risk Models

NO.PZ2023091701000089

问题如下：

Rational Investment Inc. is estimating a daily VaR for its fixed income portfolio currently valued at USD 800 million. Using returns for the last 400 days (ordered in decreasing order, from highest daily return to lowest daily return), the daily returns are the following:

1.99%, 1.89% 1.88% 1.87% ……, -1.76%, -1.82%, -1.84%, -1.87%, -1.91%

At the 99% confidence level, what is your estimate of the daily VaR using the historical simulation method?

选项：

A.USD 14.08 million

B.USD 14.56 million

C.USD 14.72 million

D.USD 15.04 million

解释：

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品职答疑小助手雍 · 2024年05月02日

同学你好，你说的取平均的概念是expected shortfall，不是var的。

var的定义就是直接取99%分位点的值。

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NO.PZ2023091701000089 问题如下 RationInvestment Inis estimating a ily Vfor its fixencome portfolio currently valueUS800 million. Using returns for thelast 400 ys (orrein creasing orr, from highest ily return to lowestily return), the ily returns are the following: 1.99%, 1.89% 1.88%1.87% ……, -1.76%, -1.82%, -1.84%, -1.87%, -1.91% Atthe 99% confinlevel, whis your estimate of the ily Vusing thehistoricsimulation metho A.US14.08 million B.US14.56 million C.US14.72 million US15.04 million

2024-04-20 09:05 1 · 回答