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moon · 2019年09月22日

问一道题：NO.PZ2019042401000043

  1. FRM II
  2. Risk Management And Investment Management

问题如下图：

    

选项：

A.

B.

C.

D.

解释：


应该是负的吧？答案里都是正数

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1 个答案

品职答疑小助手雍 · 2019年09月23日

同学你好，这里和var一样是一个损失，计算出来一个负值，然后写一个正数的损失数。

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NO.PZ2019042401000043问题如下PZ hset up a finebenefit pension scheme with $150m in assets an$135m in liabilities.We assme that:The expecteannureturn of pension assets is 7.5percent. anthe volatility is 10percent..is expecteto grow 5 percent a yeanfluctuate 4.5 percent.The correlation coefficient between asset income anthe growth of liability is 0.7.Calculate the 95% surplus risk of the pension.A.$14.62 million.B.$28.37 million.C.$20.12 million.$7.83 million. A is correct.考点pension plsurplus risk计算解析第一步: 计算surplus 的预期增长Expectesurplus growth = growth in asstes – growth in liabilitiesExpectesurplus growth = ($150m x 0.075)-($135m x 0.05)Expectesurplus growth = $11.25m-6.75m= 4.5m第二步: 计算组合的方差和标准差Varianof surplus = (150*0.1)^2 + (135*0.045)^2 – 2*(150*0.1*135*0.045*0.7) = 134.33Volatility of surplus =11.59第三步计算组合的VaRSurplus risk = 4.5 – 1.65*11.59 = -14.62 m 老师， 可以一下 为什么 计算组合方差 a平方 +b 平方 + 2 a*相关性吗 ？ 为什么这里是减去 呢 ？

2024-09-23 14:27 1 · 回答

NO.PZ2019042401000043 问题如下 PZ hset up a finebenefit pension scheme with $150m in assets an$135m in liabilities.We assme that:The expecteannureturn of pension assets is 7.5percent. anthe volatility is 10percent..is expecteto grow 5 percent a yeanfluctuate 4.5 percent.The correlation coefficient between asset income anthe growth of liability is 0.7.Calculate the 95% surplus risk of the pension. A.$14.62 million. B.$28.37 million. C.$20.12 million. $7.83 million. A is correct.考点pension plsurplus risk计算解析第一步: 计算surplus 的预期增长Expectesurplus growth = growth in asstes – growth in liabilitiesExpectesurplus growth = ($150m x 0.075)-($135m x 0.05)Expectesurplus growth = $11.25m-6.75m= 4.5m2019042401000043第一步: 计算surplus 的预期增长Expectesurplus growth = growth in asstes – growth in liabilitiesExpectesurplus growth = ($150m * 0.075)-($135m *0.05)Expectesurplus growth = $11.25m-6.75m= 4.5 m第二步: 计算组合的方差和标准差Varianof surplus = (150*0.1)^2 + (135*0.045)^2 – 2*(150*0.1*135*0.045*0.7) = 134.33Volatility of surplus =11.59第三步计算组合的VaRSurplus risk = 4.5 – 1.65*11.59 = -14.62 m expectesurplus为什么不用 μ=A×（1+RA）−L×(1+RL)

2022-06-17 13:47 1 · 回答

NO.PZ2019042401000043 第二步: 计算组合的方差和标准差 Varianof surplus = (150*0.1)^2 + (135*0.045)^2 – 2*(150*0.1*135*0.045*0.7) = 134.33 Volatility of surplus =11.59 为什么算Varianof surplus时，weight用到的是volatility的数值呢

2021-09-28 11:44 1 · 回答

NO.PZ2019042401000043 老师好，在计算surplus growth 的时候，答案解析用的是下图一的方法，想问一下为什么不是图二标黄公式讲义里面讲到的方法？这两个growth有什么区别？

2021-04-04 10:45 1 · 回答

NO.PZ2019042401000043 95%置信度不应该对应的是1.96的系数吗？

2021-03-31 22:14 2 · 回答