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金融民工阿聪 · 2021年03月31日

为什么不是倒数5个数

  1. FRM II
  2. Market Risk Measurement And Management

NO.PZ2018122701000007

问题如下：

A mutual fund has USD 50 billion in assets. The risk manager computes the daily VaR at various confidence levels as follows:

What is the closest estimate of the daily expected shortfall at the 97.5% confidence level?

选项：

A.

USD 821 million

B.

USD 895 million

C.

USD 919 million

D.

USD 1023 million

解释：

D is correct.

考点 ： Expected Shortfall

解析 ： An estimate of the expected shortfall can be obtained by taking the average of the VaRs for the various confidence levels that are greater than 97.5%.This leads to an estimate of USD 1,023,000,000.

为什么ES不算倒数5个数加起来除以5=997.2？

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品职答疑小助手雍 · 2021年03月31日

嗨，爱思考的PZer你好：


因为定义就是是要算大于97.5%分位点的数，原版书也是要剔除分位点上的数字的。

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

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