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qingcui · 2024年10月01日

这种题目算起来比较复杂，实际会考到吗？

  1. FRM I
  2. Valuation And Risk Models

NO.PZ2020011303000054

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.

Suppose that there are two independent identical investments with the properties.

What are (a) the VaR and (b) the expected shortfall for a portfolio consisting of the two investments when the confidence level is 95% and the time horizon is one year?

选项：

解释：

有一个项目，3%的概率会损失10m，7%损失3m，90%概率会获得1m，假设这俩投资都是独立相同的，求95%置信区间下1年的VaR和ES？

Losses (USD) of 20, 13, 9, 6, 2, and −2 have probabilities of 0.0009, 0.0042, 0.054, 0.0049, 0.126, and 0.81, respectively.

95%VaR=9

95%ES=[0.0009×20+0.042×13+(0.05-0.0009-0.0042)×9]/0.05=9.534

如题，谢谢！

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1 个答案

pzqa39 · 2024年10月03日

嗨，努力学习的PZer你好：


这道题目本身其实并不算难，只是算起来比较麻烦，这个考点不算超纲，还是有可能考到的。不过FRM的考试还是以定性为主，计算题本来就不会特别多。

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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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