开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)｜3.2.5(安卓)APP下载

返回

12345678wdv · 2024年11月13日

求95% surplus at risk，可以理解为求Asset 和 L 组合的VAR吗

  1. FRM II
  2. Risk Management And Investment Management

NO.PZ2023101902000037

问题如下：

An analyst reports the following fund information to the advisor of a pension fund that currently invests in government and corporate bonds and carries a surplus of USD 10 million.

To evaluate the sufficiency of the fund’s surplus, the advisor estimates the possible surplus values at the end of one year. The advisor assumes that annual returns on assets and the annual growth of the liabilities are jointly normally distributed and their correlation coefficient is 0.8. The advisor can report that, with a confidence level of 95%, the surplus value will be greater than or equal to:

选项：

A.USD -11.4 million B.USD -8.3 million C.USD -1.7 million D.USD 0 million

解释：

The lower bound of the 95% confidence interval is equal to: Expected Surplus – (95% confidence factor × Volatility of Surplus). The required variables can be calculated as follows: Variance of the surplus = 1002 × 10%2 + 902 × 5%2 – 2 × 100 × 90 × 10% × 5% × 0.8 = 48.25 Volatility of the surplus = 6.94 The expected surplus = 9.7 Therefore, the lower bound of the 95% confidence interval = 9.7 – 1.645 × 6.94 = -1.725

VaR_asst= 100*(-0.06+1.645*0.1)


VaR_l= 90*(-0.07+1.645*0.05)



95% surplus at risk = sqrt(VaR_asst^2+VaR_l^2- 2*VaR_l*VaR_asst*0.8)




如果可以，算出来结果是-1.3

添加评论
2 个答案
已采纳答案

pzqa39 · 2024年11月14日

嗨，爱思考的PZer你好：


同学你好，delta surplus＝delta asset-delta liability，它体现的是变化。

如果用你说的方法，计算资产和负债作为一个组合的总 VaR 时，我们关心的是这个组合的整体波动性，而不是专注于资产和负债之间的“净值”，所以这种方法计算出来的结果肯定是有问题的。

这道题我们知道当前surplus是10%之后，加上100＊6%-90*7%的delta surplus。也就是预期起点+变化值就可以求出来，这个是正确的方法。

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

pzqa39 · 2024年11月14日

嗨，从没放弃的小努力你好：


这道题问的是（带上原有的surplus）的情况下surplus的value 95%的confidenc下会大于等于多少（这个问法已经不是surplus at risk），所以计算 expexted surplus = 100*(1+6%) - 90* (1+7%) = 9.7

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

12345678wdv · 2024年11月14日

new surplus = old surplus + delta surplus at risk。oldsurplus 等于 100-90；delta surplus at risk 用我提问的方式求，这个解法

  • 2

    回答

  • 0

    关注

  • 27

    浏览
相关问题

NO.PZ2023101902000037 问题如下 analyst reports the following funinformation to the aisor of a pension funthcurrently invests in government ancorporate bon ancarries a surplus of US10 million.To evaluate the sufficienof the funs surplus, the aisor estimates the possible surplus values the enof one year. The aisor assumes thannureturns on assets anthe annugrowth of the liabilities are jointly normally stributeantheir correlation coefficient is 0.8. The aisor creport that, with a confinlevel of 95%, the surplus value will greater thor equto: A.US-11.4 million B.US-8.3 million C.US-1.7 million US0 million The lower bounof the 95% confinintervis equto: ExpecteSurplus – (95% confinfactor × Volatility of Surplus). The requirevariables ccalculatefollows: Varianof the surplus = 1002 × 10%2 + 902 × 5%2 – 2 × 100 × 90 × 10% × 5% × 0.8 = 48.25 Volatility of the surplus = 6.94 The expectesurplus = 9.7 Therefore, the lower bounof the 95% confininterv= 9.7 – 1.645 × 6.94 = -1.725 如题，不是要用权重来求的吗 100/(100+90），请问这个该怎么理解

2024-11-11 21:09 1 · 回答

NO.PZ2023101902000037问题如下 analyst reports the following funinformation to the aisor of a pension funthcurrently invests in government ancorporate bon ancarries a surplus of US10 million.To evaluate the sufficienof the funs surplus, the aisor estimates the possible surplus values the enof one year. The aisor assumes thannureturns on assets anthe annugrowth of the liabilities are jointly normally stributeantheir correlation coefficient is 0.8. The aisor creport that, with a confinlevel of 95%, the surplus value will greater thor equto: A.US-11.4 millionB.US-8.3 millionC.US-1.7 millionUS0 millionThe lower bounof the 95% confinintervis equto: ExpecteSurplus – (95% confinfactor × Volatility of Surplus). The requirevariables ccalculatefollows: Varianof the surplus = 1002 × 10%2 + 902 × 5%2 – 2 × 100 × 90 × 10% × 5% × 0.8 = 48.25 Volatility of the surplus = 6.94 The expectesurplus = 9.7 Therefore, the lower bounof the 95% confininterv= 9.7 – 1.645 × 6.94 = -1.725上一题的surplus risk跟这题的surplus value是不一样的对吗surplus risk用的是expectesurplus growth（增量)去计算，surplus value用的是expectesurplus？这样理解对吗

2024-11-06 22:44 1 · 回答

NO.PZ2023101902000037 问题如下 analyst reports the following funinformation to the aisor of a pension funthcurrently invests in government ancorporate bon ancarries a surplus of US10 million.To evaluate the sufficienof the funs surplus, the aisor estimates the possible surplus values the enof one year. The aisor assumes thannureturns on assets anthe annugrowth of the liabilities are jointly normally stributeantheir correlation coefficient is 0.8. The aisor creport that, with a confinlevel of 95%, the surplus value will greater thor equto: A.US-11.4 million B.US-8.3 million C.US-1.7 million US0 million The lower bounof the 95% confinintervis equto: ExpecteSurplus – (95% confinfactor × Volatility of Surplus). The requirevariables ccalculatefollows: Varianof the surplus = 1002 × 10%2 + 902 × 5%2 – 2 × 100 × 90 × 10% × 5% × 0.8 = 48.25 Volatility of the surplus = 6.94 The expectesurplus = 9.7 Therefore, the lower bounof the 95% confininterv= 9.7 – 1.645 × 6.94 = -1.725 您看一下这道题，No.PZ2023101902000036 (选择题)Expectesurplus的计算方法到底用哪一个？

2024-11-02 15:42 1 · 回答

NO.PZ2023101902000037问题如下 analyst reports the following funinformation to the aisor of a pension funthcurrently invests in government ancorporate bon ancarries a surplus of US10 million.To evaluate the sufficienof the funs surplus, the aisor estimates the possible surplus values the enof one year. The aisor assumes thannureturns on assets anthe annugrowth of the liabilities are jointly normally stributeantheir correlation coefficient is 0.8. The aisor creport that, with a confinlevel of 95%, the surplus value will greater thor equto: A.US-11.4 millionB.US-8.3 millionC.US-1.7 millionUS0 millionThe lower bounof the 95% confinintervis equto: ExpecteSurplus – (95% confinfactor × Volatility of Surplus). The requirevariables ccalculatefollows: Varianof the surplus = 1002 × 10%2 + 902 × 5%2 – 2 × 100 × 90 × 10% × 5% × 0.8 = 48.25 Volatility of the surplus = 6.94 The expectesurplus = 9.7 Therefore, the lower bounof the 95% confininterv= 9.7 – 1.645 × 6.94 = -1.725​expectesurplus不应该是100✘6%-7%✘90吗

2024-10-19 00:22 1 · 回答