这题解析看不懂，麻烦老师解释一下考的是什么？
丹丹_品职答疑助手 · 2020年03月11日
同学你好，本题考查对VaR的理解，VaR的假设条件决定了它本身没有那么关注他的尾部风险。
以下是答案解析，希望可以帮到你
Flusk experienced zero daily VaR breaches over the last year yet incurred a substantial loss. A limitation of VaR is its vulnerability to different volatility regimes. A portfolio might remain under its VaR limit every day but lose an amount approaching this limit each day. If market volatility during the last year is lower than in the lookback period, the portfolio could accumulate a substantial loss without technically breaching the VaR constraint.
A is incorrect because VaR was calculated using historical simulation, so the distribution used was based on actual historical changes in the key risk factors experienced during the lookback period. Thus, the distribution is not characterized using estimates of the mean return, the standard deviation, or the correlations among the risk factors in the portfolio. In contrast, the parametric method of estimating VaR generally assumes that the distribution of returns for the risk factors is normal.
B is incorrect because a specification with a higher confidence level will produce a higher VaR. If a 99% confidence interval was used to calculate historical VaR, the VaR would be larger (larger expected minimum loss). During the last year, none of Flusk’s losses were substantial enough to breach the 5% VaR number (95% confidence interval); therefore, if McKee used a 1% VaR (99% confidence interval), the number of VaR breaches would not change.