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