开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)｜3.2.5(安卓)APP下载

返回

Cooljas · 2024年03月09日

这个3还是不太懂，不是求5%时候的VAR值吗？但是3是7%时候的值

  1. FRM I
  2. Valuation And Risk Models

NO.PZ2020011303000053

问题如下：

A one-year project has a 3% chance of losing USD 10million, a 7% chance of losing USD 3 million, and a 90% chance of gaining USD 1 million. What are (a) the VaR and (b) the expected shortfall when the confidence level is 95% and the time horizon is one year?

选项：

解释：

VaR is USD 3 million. Expected shortfall (USD) is 10 × 0.6 + 3 × 0.4 = 7.2.

有一个项目，3%的概率会损失10m，7%损失3m，90%概率会获得1m，求95%置信区间下的VaR与ES？

VaR=3m

ES=10 × 0.6 + 3 × 0.4 = 7.2m



添加评论
1 个答案

品职答疑小助手雍 · 2024年03月09日

同学你好，就把这些损失想象成区间的概念就好了，损失10M占3%，那意味着末尾的3%的区间代表的损失值都是10M。然后末尾3%位置到10%位置代表的损失值都是3M。

现在5%落在的3M的区间里，所以5%的var就是3M。

  • 1

    回答

  • 0

    关注

  • 186

    浏览
相关问题

NO.PZ2020011303000053 问题如下 A one-yeprojeha 3% chanof losing US10million, a 7% chanof losing US3 million, ana 90% chanof gaining US1 million. Whare (the Van(the expecteshortfall when the confinlevel is 95% anthe time horizon is one year? Vis US3 million. Expecteshortfall (US is 10 × 0.6 + 3 × 0.4 = 7.2. 有一个项目，3%的概率会损失10m，7%损失3m，90%概率会获得1m，求95%置信区间下的VaR与ES？VaR=3mES=10 × 0.6 + 3 × 0.4 = 7.2m 什么这里的VaR不是用插值法？ES又是按比例算？

2024-09-27 13:21 2 · 回答

NO.PZ2020011303000053 问题如下 A one-yeprojeha 3% chanof losing US10million, a 7% chanof losing US3 million, ana 90% chanof gaining US1 million. Whare (the Van(the expecteshortfall when the confinlevel is 95% anthe time horizon is one year? Vis US3 million. Expecteshortfall (US is 10 × 0.6 + 3 × 0.4 = 7.2. 有一个项目，3%的概率会损失10m，7%损失3m，90%概率会获得1m，求95%置信区间下的VaR与ES？VaR=3mES=10 × 0.6 + 3 × 0.4 = 7.2m 离散型的尾部ES都不能用算数平均，要用这种按比例的算法吗？讲义上有提到吗？

2024-09-27 13:02 2 · 回答

NO.PZ2020011303000053问题如下A one-yeprojeha 3% chanof losing US10million, a 7% chanof losing US3 million, ana 90% chanof gaining US1 million. Whare (the Van(the expecteshortfall when the confinlevel is 95% anthe time horizon is one year? Vis US3 million. Expecteshortfall (US is 10 × 0.6 + 3 × 0.4 = 7.2. 有一个项目，3%的概率会损失10m，7%损失3m，90%概率会获得1m，求95%置信区间下的VaR与ES？VaR=3mES=10 × 0.6 + 3 × 0.4 = 7.2m 完全不明白，以前的解答不明白，请详细说说，在讲义哪里。谢谢

2023-04-05 17:51 2 · 回答

NO.PZ2020011303000053问题如下A one-yeprojeha 3% chanof losing US10million, a 7% chanof losing US3 million, ana 90% chanof gaining US1 million. Whare (the Van(the expecteshortfall when the confinlevel is 95% anthe time horizon is one year? Vis US3 million. Expecteshortfall (US is 10 × 0.6 + 3 × 0.4 = 7.2. 讲义308页说the ES gives tail losses equweight... 与此处答案的ES计算方法是否冲突？该如何理解？

2022-10-16 19:28 1 · 回答