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xxxxsdadas · 2021年01月10日

问一道题：NO.PZ2018070201000032

  1. CFA I
  2. Portfolio

问题如下：

The 5% one-day Value at Risk of $2 million can be interpreted by:

选项：

A.

It expects to lose a minimum $2 million in one day with 5% probability.

B.

It expects to lose no more than $2 million in one day with 5% probability.

C.

It expects to lose at least $2 million in one dya with 95% probability.

解释：

A is correct.

The VaR is a minimum extreme loss metric in a time period given the probability.

VaR的概念一直有点迷惑。“VaR does not tell the maximum loss”，但是这道题还可以被理解为“It expects to lose no more than $2 million in one day with 95% probability.”，此时95%的最大损失不就是2million么？

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2 个答案

丹丹_品职答疑助手 · 2021年01月12日

同学你好，本题要结合正态分布图形理解，最小的损失是0，但是要根据其分布确定某个时间段达到最小损失的概率。所以同学理解VAR并不是要计算出一个绝对值，而是一个时间段内、一定概率能够达到某个阀值。

丹丹_品职答疑助手 · 2021年01月11日

嗨，努力学习的PZer你好：


同学你好，注意到是95%的概率，但是尾部风险不确定，所以不知道最大损失。请知悉


-------------------------------
虽然现在很辛苦，但努力过的感觉真的很好，加油！


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