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Enno · 2020年12月10日

问一道题：NO.PZ2020033001000086

  1. FRM II
  2. Market Risk Measurement And Management

问题如下：

Anna, FRM, an analyst in Zack Corporation, is determining the value at risk (VaR) for the corporation's profit/loss distribution. The distribution is assumed to be normally distributed with an annual mean of $2 million and a standard deviation of $0.5 million. What is the VaR with a 99% confidence level if a parametric approach is applied?

选项：

A.

$0.01 million.

B.

$0.33 million.

C.

$1.33 million.

D.

$2.33 million.

解释：

B is correct.

考点：Parametric Estimation Approaches

解析：

The population mean and standard deviations are unknown; therefore, the standard normal z-value of 2.33 is used for a 99% confidence level.

VaR(1%) = -2.0 million + ($1 million)(2.33) = -2.0 million + 2.33 million =0.33 million.

题干和答案有偏差，题干的标准差是0.5，答案应该是0.835。答案里的标准差是1，需要统一一下题干和答案。

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1 个答案

Shimin_CPA税法主讲、CFA教研 · 2020年12月11日

嗨，爱思考的PZer你好：


谢谢同学反馈，题干中应该SD = 1m，typo已修改。


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NO.PZ2020033001000086问题如下 AnnFRM, analyst in ZaCorporation, is termining the value risk (VaR) for the corporation's profit/loss stribution. The stribution is assumeto normally stributewith annumeof $2 million ana stanrviation of $1 million. Whis the Vwith a 99% confinlevel if a parametric approais applie A.$0.01 million. B.$0.33 million. C.$1.33 million. $2.33 million. B is correct.考点Parametric Estimation Approaches 解析 The population meanstanrviations are unknown; therefore, the stanrnormz-value of 2.33 is usefor a 99% confinlevel.VaR(1%) = -2.0 million + ($1 million)(2.33) = -2.0 million + 2.33 million =0.33 million. VAR是单位而VAR的检验是双尾，是吗？

2022-03-20 16:41 1 · 回答

VaR(1%) = -2.0 million + ($1 million)(2.33) = -2.0 million + 2.33 million =0.33 million. 老师，请问题干中stanrviation不是0.5么？为什么答案中是1？

2020-12-10 09:55 1 · 回答

$0.33 million. $1.33 million. $2.33 million. B is correct. 考点Parametric Estimation Approaches 解析 The population meanstanrviations are unknown; therefore, the stanrnormz-value of 2.33 is usefor a 99% confinlevel. VaR(1%) = -2.0 million + ($1 million)(2.33) = -2.0 million + 2.33 million =0.33 million. 为什么不是2-2.33*0.5？

2020-12-09 22:33 2 · 回答