Potatowpn · 2020年06月15日
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.
麻烦老师能否把两个问题的详细过程写一下？
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
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
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？
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. 第一问95%的VAR的损失为什么是3million？不是10milion？第二步的ES也没有看懂怎么计算的，可以麻烦老师详细讲一下吗？
NO.PZ2020011303000053 哪里说是离散的了？
