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Ella · 2024年10月28日

什么是required economic capital

NO.PZ2023100703000009

问题如下:

A large commercial bank is using VaR as its main risk measurement tool. Expected shortfall (ES) is suggested as a better alternative to use during market turmoil. What should be understood regarding VaR and ES before modifying current practices?

选项:

A.Despite being more complicated to calculate, ES is easier to backtest than VaR. B.Relative to VaR, ES leads to more required economic capital for the same confidence level. C.While VaR ensures that the estimate of portfolio risk is less than or equal to the sum of the risks of that portfolio’s positions, ES does not. D.Both VaR and ES account for the severity of losses beyond the confidence threshold.

解释:

Expected shortfall is always greater than or equal to VaR for a given confidence level, since ES accounts for the severity of expected losses beyond a particular confidence level, while VaR measures the minimum expected loss at that confidence level. Therefore, ES would lead to a higher level of required economic capital than VaR for the same confidence level. In practice, however, regulators often correct for the difference between ES and VaR by lowering the required confidence level for banks using ES compared to those using VaR.

什么是required economic capital

1 个答案
已采纳答案

pzqa39 · 2024年10月29日

嗨,从没放弃的小努力你好:


是指金融机构为应对潜在损失并保持偿付能力而需要保留的资本金额。它是一种风险缓冲,用于保护机构在遭遇极端不利市场条件或经济下行时能够继续正常运作。通常基于金融机构的风险敞口和所采用的风险度量方法来计算。

VaR在特定置信水平下,VaR度量的是在最坏情况下可能出现的最低损失。虽然简单易计算,但它忽略了置信水平之外的损失规模。

相较于VaR,ES不仅考虑了在置信水平下的最低损失,还考虑了置信水平之外的更大损失(极端尾部风险)。因此,ES通常会比VaR产生更大的经济资本需求,因为它为更严重的损失提供了额外的缓冲。

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