NO.PZ2019070901000097
问题如下：
A bond portfolio has 950million in asset and a probability of default of 0.7% with 0% recovery rate. what is the difference between the 99% VaR and 99% expected shortfall ?
选项：
A.The 99%VaR and the 99% expected shorfall both equal 0.
B.The 99%VaR equals $950 million, while the 99% expected shortfall euquals 665million.
C.The 99% VaR equals 0, while the expected shortfall equals $665 million.
D.The 99%VaR and the 99% expected shorfall both equal 950million.
解释：
C is correct.
考点：VaR和ES度量
解析：损失概率为0.7%时，位于99%VaR的尾部，所以VaR的1%的位置显示的风险值为0，但是尾部的70%都是损失部分，也就是950million的损失。所以expected shortfall等于950million*70%=665million.
老师我有点不理解计算99%的var时候，把违约概率当成累计概率？计算尾部1%的分位点，不是等于累计违约1%对应的损失，但题目只给了一个PD。
