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阿拉阿拉希希 · 2020年08月16日

问一道题:NO.PZ2019042401000043

问题如下:

PZ has set up a defined benefit pension scheme with $150m in assets and $135m in liabilities.

We assme that:

The expected annual return of pension assets is 7.5percent. and the volatility is 10percent..

Debt is expected to grow at 5 percent a year and fluctuate at 4.5 percent.

The correlation coefficient between asset income and the growth of liability is 0.7.

Calculate the 95% surplus at risk of the pension.

选项:

A.

$14.62 million.

B.

$28.37 million.

C.

$20.12 million.

D.

$7.83 million.

解释:

A is correct.

考点:pension plan surplus at risk计算

解析:

第一步: 计算surplus 的预期增长

Expected surplus growth = growth in asstes – growth in liabilities

Expected surplus growth = ($150m x 0.075)-($135m x 0.05)

Expected surplus growth = $11.25m-6.75m= 4.5m

2019042401000043
第一步: 计算surplus 的预期增长
Expected surplus growth = growth in asstes – growth in liabilities
Expected surplus growth = ($150m * 0.075)-($135m *0.05)
Expected surplus growth = $11.25m-6.75m= 4.5 m


第二步: 计算组合的方差和标准差
Variance of 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


第三步:计算组合的VaR
Surplus at risk = 4.5 – 1.65*11.59 = -14.62 m

第一步: 计算surplus 的预期增长

Expected surplus growth = growth in asstes – growth in liabilities

Expected surplus growth = ($150m * 0.075)-($135m *0.05)

Expected surplus growth = $11.25m-6.75m= 4.5 m


第二步: 计算组合的方差和标准差

Variance of 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


第三步:计算组合的VaR

Surplus at risk = 4.5 – 1.65*11.59 = -14.62 m


标准正态分布表是单尾?

比如置信区间是90%,

则查表应该找 1-10%/2=95%的点就是1.65?????


2 个答案

小刘_品职助教 · 2020年08月20日

同学你好,

是的,以题目这道题为例,你只要查95%对应的数字是1.65就可以了。

小刘_品职助教 · 2020年08月17日

同学你好,

在计算VaR的时候默认用单尾。

VaR的定义决定了这一点,因为VaR代表的是一段时间内,一定概率下的最大损失,而并非最大波动。损失是单边的,所以只能是单尾检验。

阿拉阿拉希希 · 2020年08月19日

正态分布表查表也是,那个表也是单尾概率吧!

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