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reachqi · 2019年12月16日

问一道题:NO.PZ201512181000007102

* 问题详情,请 查看题干

问题如下:

The number of Flusk’s VaR breaches most likely resulted from:

选项:

A.

using a standard normal distribution in the VaR model.

B.

using a 95% confidence interval instead of a 99% confidence interval.

C.

lower market volatility during the last year compared with the lookback period.

解释:

C is correct. Flusk experienced zero daily VaR breaches over the last year yet incurred a substantial loss. A limitation of VaR is its vulnerability to different volatility regimes. A portfolio might remain under its VaR limit every day but lose an amount approaching this limit each day. If market volatility during the last year is lower than in the lookback period, the portfolio could accumulate a substantial loss without technically breaching the VaR constraint.

A is incorrect because VaR was calculated using historical simulation, so the distribution used was based on actual historical changes in the key risk factors experienced during the lookback period. Thus, the distribution is not characterized using estimates of the mean return, the standard deviation, or the correlations among the risk factors in the portfolio. In contrast, the parametric method of estimating VaR generally assumes that the distribution of returns for the risk factors is normal.

B is incorrect because a specification with a higher confidence level will produce a higher VaR. If a 99% confidence interval was used to calculate historical VaR, the VaR would be larger (larger expected minimum loss). During the last year, none of Flusk’s losses were substantial enough to breach the 5% VaR number (95% confidence interval); therefore, if McKee used a 1% VaR (99% confidence interval), the number of VaR breaches would not change.

这道题目没读懂,答案看了也没明白,是否可以分析一下考点并解释一下答案的意思

1 个答案
已采纳答案

星星_品职助教 · 2019年12月17日

同学你好,

这道题考察的是VaR的定义和性质。题干中大意是过去一年这个组合实际上有很大的损失,但是看记录,VaR却一次都没有被突破,问这种情况发生的原因。

答案的意思是由于VaR只是一定情况下的最大损失(从分布的右侧看,用最大损失来解读VaR),所以过去的这一段时间内,可能会发生很多的小损失,但是每次都没有到达VaR那么多,所以VaR没有被突破。但因为小损失比较多,所以总的损失也不少。

举个例子,假设1-day 5% VaR是 5 million(95%的情况下最大损失为5m),这个组合可能在过去一年内一共遭遇到了100次损失,但每次都损失4.999999m,这样这个组合实际上损失惨重,但是VaR的临界值却没有一次被突破。加油