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苏格拉底二徒弟🦦 · 2023年05月18日

题目不严谨?

NO.PZ2022071105000012

问题如下:

A wealth management firm has JPY 72 billion in assets under management. The portfolio manager computes

the daily VaR at various confidence levels as follows:

What is the closest estimate of the daily ES at the 97.5% confidence level?

选项:

A.

JPY 398 million

B.

JPY 400 million

C.

JPY 405 million

D.

JPY 497 million

解释:

中文解析:

C是正确的,可以用置信度大于97.5%的VaR的平均值作为ES的估计值:

ES = (378,412,500+392,452,500+410,880,000+439,252,500)/4 = JPY 405,249,375

C is correct. An estimate of the expected shortfall (ES) can be obtained by taking the

average of the VaRs for the various confidence levels that are greater than 97.5%.

Therefore,

ES = (378,412,500+392,452,500+410,880,000+439,252,500)/4 = JPY 405,249,375

老师请问这道题题目里面VaR的单位是USD 题目问JPY是不是要改一下

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已采纳答案

品职答疑小助手雍 · 2023年05月18日

同学你好,谢谢指出,我跟后台反应调整一下币种。