开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)｜3.2.5(安卓)APP下载

返回

Elsa陆艳 · 2022年03月13日

还是没有很懂这个题

  1. FRM I
  2. Valuation And Risk Models

NO.PZ2020011303000053

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. What are (a) the VaR and (b) the expected shortfall when the confidence level is 95% and the time horizon is one year?

选项：

解释：

VaR is USD 3 million. Expected shortfall (USD) is 10 × 0.6 + 3 × 0.4 = 7.2.

第一问：95%的VAR的损失为什么是3million？不是10milion？

第二步的ES也没有看懂怎么计算的，可以麻烦老师详细讲一下吗？

添加评论
1 个答案
已采纳答案

李坏_品职助教 · 2022年03月13日

嗨，努力学习的PZer你好：


  1. 这道题var就是找到对应95%的损失。你从最乐观情况的概率开始累加，10milliion对应的损失概率是90% + 3% = 93%，还不够95%的阈值，所以我们需要用最差的那-10 million作为95%的var.
  2. ES是指的损失超过95% var那部分损失的数学期望（均值），由于损失超过95%的概率就是1-95% = 5%，而-10 million的概率只有3%，这个3%在5%里面占了60%，另外的40%只好用-3million损失来填补，所以ES就是10 × 0.6 + 3 × 0.4 = 7.2

----------------------------------------------
虽然现在很辛苦，但努力过的感觉真的很好，加油！

  • 1

    回答

  • 0

    关注

  • 505

    浏览
相关问题

NO.PZ2020011303000053 问题如下 A one-yeprojeha 3% chanof losing US10million, a 7% chanof losing US3 million, ana 90% chanof gaining US1 million. Whare (the Van(the expecteshortfall when the confinlevel is 95% anthe time horizon is one year? Vis US3 million. Expecteshortfall (US is 10 × 0.6 + 3 × 0.4 = 7.2. 有一个项目，3%的概率会损失10m，7%损失3m，90%概率会获得1m，求95%置信区间下的VaR与ES？VaR=3mES=10 × 0.6 + 3 × 0.4 = 7.2m 什么这里的VaR不是用插值法？ES又是按比例算？

2024-09-27 13:21 2 · 回答

NO.PZ2020011303000053 问题如下 A one-yeprojeha 3% chanof losing US10million, a 7% chanof losing US3 million, ana 90% chanof gaining US1 million. Whare (the Van(the expecteshortfall when the confinlevel is 95% anthe time horizon is one year? Vis US3 million. Expecteshortfall (US is 10 × 0.6 + 3 × 0.4 = 7.2. 有一个项目，3%的概率会损失10m，7%损失3m，90%概率会获得1m，求95%置信区间下的VaR与ES？VaR=3mES=10 × 0.6 + 3 × 0.4 = 7.2m 离散型的尾部ES都不能用算数平均，要用这种按比例的算法吗？讲义上有提到吗？

2024-09-27 13:02 2 · 回答

NO.PZ2020011303000053 问题如下 A one-yeprojeha 3% chanof losing US10million, a 7% chanof losing US3 million, ana 90% chanof gaining US1 million. Whare (the Van(the expecteshortfall when the confinlevel is 95% anthe time horizon is one year? Vis US3 million. Expecteshortfall (US is 10 × 0.6 + 3 × 0.4 = 7.2. 有一个项目，3%的概率会损失10m，7%损失3m，90%概率会获得1m，求95%置信区间下的VaR与ES？VaR=3mES=10 × 0.6 + 3 × 0.4 = 7.2m

2024-03-09 17:27 1 · 回答

NO.PZ2020011303000053问题如下A one-yeprojeha 3% chanof losing US10million, a 7% chanof losing US3 million, ana 90% chanof gaining US1 million. Whare (the Van(the expecteshortfall when the confinlevel is 95% anthe time horizon is one year? Vis US3 million. Expecteshortfall (US is 10 × 0.6 + 3 × 0.4 = 7.2. 有一个项目，3%的概率会损失10m，7%损失3m，90%概率会获得1m，求95%置信区间下的VaR与ES？VaR=3mES=10 × 0.6 + 3 × 0.4 = 7.2m 完全不明白，以前的解答不明白，请详细说说，在讲义哪里。谢谢

2023-04-05 17:51 2 · 回答

NO.PZ2020011303000053问题如下A one-yeprojeha 3% chanof losing US10million, a 7% chanof losing US3 million, ana 90% chanof gaining US1 million. Whare (the Van(the expecteshortfall when the confinlevel is 95% anthe time horizon is one year? Vis US3 million. Expecteshortfall (US is 10 × 0.6 + 3 × 0.4 = 7.2. 讲义308页说the ES gives tail losses equweight... 与此处答案的ES计算方法是否冲突？该如何理解？

2022-10-16 19:28 1 · 回答