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

wuzx · 2022年03月27日

9.534怎么算出来的

  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?

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

老师，看了前面所有回答还是不明白es的为什么这样算？麻烦老师在讲一下

添加评论
1 个答案

DD仔_品职助教 · 2022年03月28日

嗨，从没放弃的小努力你好：


同学你好，

95%的ES，及尾部5%数据取平均

loss20，占比0.09%

loss13，占比0.42%

loss9，占比超过5%，所以只占尾部5%的(0.05-0.0009-0.0042)=4.49%

尾部平均=（20*0.09%+13*0.42%+9*4.49%）/5%=9.534

----------------------------------------------
努力的时光都是限量版，加油！

  • 1

    回答

  • 0

    关注

  • 357

    浏览
相关问题

NO.PZ2020011303000054 问题如下 A one-yeprojeha 3% chanof losing US10million, a 7% chanof losing US3 million, ana 90% chanof gaining US1 million.Suppose ththere are two inpennt inticinvestments with the properties. Whare (the Van(the expecteshortfall for a portfolio consisting of the two investments when the confinlevel is 95% anthe time horizon is one year? 有一个项目，3%的概率会损失10m，7%损失3m，90%概率会获得1m，假设这俩投资都是独立相同的，求95%置信区间下1年的VaR和ES？Losses (US of 20, 13, 9, 6, 2, an−2 have probabilities of 0.0009, 0.0042, 0.054, 0.0049, 0.126, an0.81, respectively. 95%VaR=995%ES=[0.0009×20+0.042×13+(0.05-0.0009-0.0042)×9]/0.05=9.534 如题，谢谢！

2024-10-01 16:19 1 · 回答

NO.PZ2020011303000054 问题如下 A one-yeprojeha 3% chanof losing US10million, a 7% chanof losing US3 million, ana 90% chanof gaining US1 million.Suppose ththere are two inpennt inticinvestments with the properties. Whare (the Van(the expecteshortfall for a portfolio consisting of the two investments when the confinlevel is 95% anthe time horizon is one year? 有一个项目，3%的概率会损失10m，7%损失3m，90%概率会获得1m，假设这俩投资都是独立相同的，求95%置信区间下1年的VaR和ES？Losses (US of 20, 13, 9, 6, 2, an−2 have probabilities of 0.0009, 0.0042, 0.054, 0.0049, 0.126, an0.81, respectively. 95%VaR=995%ES=[0.0009×20+0.042×13+(0.05-0.0009-0.0042)×9]/0.05=9.534 看了也不知道再算什么？

2024-04-21 23:07 1 · 回答

NO.PZ2020011303000054问题如下 A one-yeprojeha 3% chanof losing US10million, a 7% chanof losing US3 million, ana 90% chanof gaining US1 million.Suppose ththere are two inpennt inticinvestments with the properties. Whare (the Van(the expecteshortfall for a portfolio consisting of the two investments when the confinlevel is 95% anthe time horizon is one year? 有一个项目，3%的概率会损失10m，7%损失3m，90%概率会获得1m，假设这俩投资都是独立相同的，求95%置信区间下1年的VaR和ES？Losses (US of 20, 13, 9, 6, 2, an−2 have probabilities of 0.0009, 0.0042, 0.054, 0.0049, 0.126, an0.81, respectively. 95%VaR=995%ES=[0.0009×20+0.042×13+(0.05-0.0009-0.0042)×9]/0.05=9.534 老师您好，关于这个一年期项目，为什么损失会有顺序？又不是三年期项目，第一年，第二年的情况因为时间先后会有顺序。不太明白

2024-03-02 21:34 4 · 回答

NO.PZ2020011303000054问题如下 A one-yeprojeha 3% chanof losing US10million, a 7% chanof losing US3 million, ana 90% chanof gaining US1 million.Suppose ththere are two inpennt inticinvestments with the properties. Whare (the Van(the expecteshortfall for a portfolio consisting of the two investments when the confinlevel is 95% anthe time horizon is one year? 有一个项目，3%的概率会损失10m，7%损失3m，90%概率会获得1m，假设这俩投资都是独立相同的，求95%置信区间下1年的VaR和ES？Losses (US of 20, 13, 9, 6, 2, an−2 have probabilities of 0.0009, 0.0042, 0.054, 0.0049, 0.126, an0.81, respectively. 95%VaR=995%ES=[0.0009×20+0.042×13+(0.05-0.0009-0.0042)×9]/0.05=9.534 老师这个题能画个图吗

2023-05-08 20:25 1 · 回答

NO.PZ2020011303000054问题如下 A one-yeprojeha 3% chanof losing US10million, a 7% chanof losing US3 million, ana 90% chanof gaining US1 million.Suppose ththere are two inpennt inticinvestments with the properties. Whare (the Van(the expecteshortfall for a portfolio consisting of the two investments when the confinlevel is 95% anthe time horizon is one year? 有一个项目，3%的概率会损失10m，7%损失3m，90%概率会获得1m，假设这俩投资都是独立相同的，求95%置信区间下1年的VaR和ES？Losses (US of 20, 13, 9, 6, 2, an−2 have probabilities of 0.0009, 0.0042, 0.054, 0.0049, 0.126, an0.81, respectively. 95%VaR=995%ES=[0.0009×20+0.042×13+(0.05-0.0009-0.0042)×9]/0.05=9.534 请问为何10+3的损失下概率是2*10和3的各自概率？而10+10的损失，或者3+3的损失(相同数)下概率是各自概率相乘，而不用乘以2呢？谢谢！

2023-03-22 02:37 1 · 回答