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