问一道题：NO.PZ2016072602000060

为何是除以95%对应的1.645？另外，，2.323是什么？

问题如下图：

选项：

解释：

添加评论

1 个答案

已采纳答案

orange品职答疑助手 · 2018年10月14日

1.645是95%的分位数，2.323应该是99%分位数的意思，这里不太好，用2.33会更好些

题目里给的两个VaR都是95%的VaR，首先我们要将两者做一个对比，选出3*20000的那个更好。但请注意，这是在95%下的VaR。在比大小的时候，只要分位数的标准相同，不论是95%还是99%都可以，因为我们的目的是找到一个更大的。但在选完了之后要计算的时候，还是得把95%的VaR给转换成99%的，所以就先除以95%，再*99%。

添加评论

1
回答
4
关注
557
浏览

我要回答关注问题

相关问题

NO.PZ2016072602000060 问题如下 a risk manager for Bank ABJohn is asketo calculate the market risk capitcharge of the bank’s trang portfolio unr the 1996 internmols approach. The V(95%, one-y) of the last trang y is US30,000; the average V(95%, one-y) for the last 60 trang ys is US20,000. The multiplier is k=3. Assuming the return of the bank’s trang portfolio is normally stribute whis the market risk capitcharge of the trang portfolio? US84,582 US189,737 US268,200 US134,594 C is correct. The average Vtimes 3 is US60,000. Because this is higher thyestery's VAR, this is the binng number. Multiplying 10\sqrt{10}10 x 2.323/1.645 = 4.47 gives US268,200. the market risk capitcharge 就是理解为 V capitloss?

2024-11-07 15:58 1 · 回答

NO.PZ2016072602000060 问题如下 a risk manager for Bank ABJohn is asketo calculate the market risk capitcharge of the bank’s trang portfolio unr the 1996 internmols approach. The V(95%, one-y) of the last trang y is US30,000; the average V(95%, one-y) for the last 60 trang ys is US20,000. The multiplier is k=3. Assuming the return of the bank’s trang portfolio is normally stribute whis the market risk capitcharge of the trang portfolio? US84,582 US189,737 US268,200 US134,594 C is correct. The average Vtimes 3 is US60,000. Because this is higher thyestery's VAR, this is the binng number. Multiplying 10\sqrt{10}10 x 2.323/1.645 = 4.47 gives US268,200. 计算market risk charge 其实就是basel要求的对应的VAR。先比较昨天的和过去60天*k的，谁大用谁。然后再把大的60000，调整成99% 10天？

2023-11-14 15:17 1 · 回答

NO.PZ2016072602000060 问题如下 a risk manager for Bank ABJohn is asketo calculate the market risk capitcharge of the bank’s trang portfolio unr the 1996 internmols approach. The V(95%, one-y) of the last trang y is US30,000; the average V(95%, one-y) for the last 60 trang ys is US20,000. The multiplier is k=3. Assuming the return of the bank’s trang portfolio is normally stribute whis the market risk capitcharge of the trang portfolio? US84,582 US189,737 US268,200 US134,594 C is correct. The average Vtimes 3 is US60,000. Because this is higher thyestery's VAR, this is the binng number. Multiplying 10\sqrt{10}10 x 2.323/1.645 = 4.47 gives US268,200. 老师VaR的计算不是单尾吗，那为什么这里不是除以1.96，反而用的是1.65

2022-11-04 21:00 1 · 回答

NO.PZ2016072602000060 为什么乘以根十？

2022-03-07 20:52 1 · 回答

NO.PZ2016072602000060 为什么在前一天的VaR和过去60天平均的VaR中选择了较小的那一呢？能帮忙指出这部分在1996 Amenng的讲义里哪一部分吗？因为我只在后面巴3的修正中看到要在risk capital中增加stresseVaR，而这个VaR用的是前一天和过去六十天平均的较大值。谢谢

2021-03-30 08:24 1 · 回答

问一道题：NO.PZ2016072602000060

1 个答案

1

4

557

相关问题