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410140980 · 2022年11月04日

老师VaR的计算不是单尾吗

  1. FRM II
  2. Basel Accord

NO.PZ2016072602000060

问题如下：

As a risk manager for Bank ABC, John is asked to calculate the market risk capital charge of the bank’s trading portfolio under the 1996 internal models approach. The VAR (95%, one-day) of the last trading day is USD 30,000; the average VAR (95%, one-day) for the last 60 trading days is USD 20,000. The multiplier is k=3. Assuming the return of the bank’s trading portfolio is normally distributed, what is the market risk capital charge of the trading portfolio?

选项：

A.

USD 84,582

B.

USD 189,737

C.

USD 268,200

D.

USD 134,594

解释：

C is correct. The average VAR times 3 is USD 60,000. Because this is higher than yesterday's VAR, this is the binding number. Multiplying by 10\sqrt{10} x 2.323/1.645 = 4.47 gives USD 268,200.

老师VaR的计算不是单尾吗，那为什么这里不是除以1.96，反而用的是1.65

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1 个答案

李坏_品职助教 · 2022年11月04日

嗨，从没放弃的小努力你好：


单尾95%对应的Z值就是1.65。


95%意思是置信度有95%，而尾部概率一共是5%。


双尾的95%的置信度表示：左右两侧每一侧都是2.5%，所以双尾的95%的Z值是1.96.


单尾置信度95%表示，没有右侧，只有左侧，左侧概率是5%，所以单尾的95%的Z值是1.65.


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