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薛真 · 2020年04月25日

问一道题：NO.PZ2020011303000054

  1. FRM I
  2. Valuation And Risk Models

问题如下：

previous question：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 specified in the previous question. 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：

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. The VaR is 9 and ES is

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

这个题好像缺了点什么

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已采纳答案

品职答疑小助手雍 · 2020年04月26日

因为是两个投资，按照损失数组合起来就是两个都是损失10的时候损失就是20，一个3一个10的时候损失就是13，一个10一个赚1的时候损失就是9，两个损失3的话损失就是6，一个损失3一个赚1的时候损失就是2，两个赚1的时候损失就是-2。然后因为两个投资是相互独立的，可以算出来对应的概率。

品职答疑小助手雍 · 2020年04月25日

嗨，从没放弃的小努力你好：


这个已经补充完整了的，两个相互独立的投资，各自的结果都是：3% chance of losing USD 10million, a 7% chance of losing USD 3 million, and a 90% chance of gaining USD 1 million。

问他俩构成一个组合的时候，95的VAR和ES。


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努力的时光都是限量版，加油！


薛真 · 2020年04月25日

看不懂答案啊

薛真 · 2020年04月25日

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,这数字都是哪来的啊

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