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Elsa陆艳 · 2022年03月13日

看不明白这个题，可以讲一下吗？

  1. FRM I
  2. Valuation And Risk Models

NO.PZ2020011303000054

问题如下：

A one-year project has a 3% chance of losing USD 10million, a 7% chance of losing USD 3 million, and a 90% chance of gaining USD 1 million.

Suppose that there are two independent identical investments with the properties.

What are (a) the VaR and (b) the expected shortfall for a portfolio consisting of the two investments when the confidence level is 95% and the time horizon is one year?

选项：

解释：

Losses (USD) of 20, 13, 9, 6, 2, and −2 have probabilities of 0.0009, 0.0042, 0.054, 0.0049, 0.126, and 0.81, respectively.

The VaR is 9 and ES is

[0.0009×20+0.042×13+(0.05-0.0009-0.0042)×9]/0.05=9.534

loss那一列的数字怎么来的，3%的可能损失的是10万，为什么loss列是10万+10万？

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品职答疑小助手雍 · 2022年03月13日

同学你好，第二行说了two independent identical 债券，所以要计算的是两只相互独立的债券的损失情况。

第一行就是两只都损失10million的情况，算对应的概率。

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