es计算

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