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410140980 · 2022年11月12日

surplus VAR

  1. FRM II
  2. Risk Management And Investment Management

NO.PZ2016071602000003

问题如下：

The AT&T pension fund reports total assets worth $19.6 billion and liabilities of $17.4 billion. Assume the surplus has a normal distribution and volatility of 10% per annum. The 95% surplus at risk over the next year is

选项：

A.

$360 million

B.

$513 million

C.

$2,860 million

D.

$3,220 million

解释：

A is correct. The fund's surplus is the excess of assets over liabilities，which $19.6 — $17.4 = $2.2 billion. The surplus at risk at the 95% level over one year is, assuming a normal distribution, 1.645 x 10% x $2,200 = $360 million. Answer b. is incorrect because it uses a 99% confidence level. Answers c. and d. are incorrect because they apply the risk to the liabilities and assets instead of the surplus.

老师解析里面的2200$怎么算出来的？就是算组合的σ

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1 个答案

李坏_品职助教 · 2022年11月13日

嗨，努力学习的PZer你好：


这里题目告诉我们volatility of 10%，意思是suruplus的波动率是10%。所以要用surplus的金额2.2billion去乘以10%，就是σ了。


你看答案解析里面写的，1.645 * 10% * 2200，,1.645是95%的Z值，后面的10%*2200就是σ。

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

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