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