开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)｜3.2.5(安卓)APP下载

返回

^(*￣(oo)￣)^进击ing🍬🍬 · 2021年01月24日

问一道题：NO.PZ2018122701000007 [ FRM II ]

  1. FRM II
  2. Market Risk Measurement And Management

问题如下：

A mutual fund has USD 50 billion in assets. The risk manager computes the daily VaR at various confidence levels as follows:

What is the closest estimate of the daily expected shortfall at the 97.5% confidence level?

选项：

A.

USD 821 million

B.

USD 895 million

C.

USD 919 million

D.

USD 1023 million

解释：

D is correct.

考点 ： Expected Shortfall

解析 ： An estimate of the expected shortfall can be obtained by taking the average of the VaRs for the various confidence levels that are greater than 97.5%.This leads to an estimate of USD 1,023,000,000.

此题具体怎么算的expected shortfall?

添加评论
1 个答案

小刘_品职助教 · 2021年01月25日

同学你好，

ES=（931m+979m+1042m+1139m）/4=1022.75m 约等于1023m

  • 1

    回答

  • 2

    关注

  • 480

    浏览
相关问题

NO.PZ2018122701000007 问题如下 A mutufunhUS50 billion in assets. The risk manager computes the ily Vvarious confinlevels follows: Whis the closest estimate of the ily expecteshortfall the 97.5% confinlevel? US821 million US895 million US919 million US1023 million is correct. 考点 ： ExpecteShortfall 解析 ： estimate of the expecteshortfall cbe obtainetaking the average of the VaRs for the various confinlevels thare greater th97.5%.This lea to estimate of US1,023,000,000. 看了之前有同学的提问，但是还是没太理解区别就在于loss的ES和VaR的ES，而VaR是在一个loss的分布里得出来的。那跟要不要把分位点上这个数排除出去有啥关系呢

2023-10-24 08:15 1 · 回答

NO.PZ2018122701000007 问题如下 A mutufunhUS50 billion in assets. The risk manager computes the ily Vvarious confinlevels follows: Whis the closest estimate of the ily expecteshortfall the 97.5% confinlevel? US821 million US895 million US919 million US1023 million is correct. 考点 ： ExpecteShortfall 解析 ： estimate of the expecteshortfall cbe obtainetaking the average of the VaRs for the various confinlevels thare greater th97.5%.This lea to estimate of US1,023,000,000. 为什么例题上95%的置信区间用了后5个数的平均,包含在95%的数，这道题97.5%的置信区间去除了97.5%的数字呢？

2023-01-17 14:36 1 · 回答

NO.PZ2018122701000007 US895 million US919 million US1023 million is correct. 考点 ExpecteShortfall 解析 estimate of the expecteshortfall cobtainetaking the average of the VaRs for the various confinlevels thare greater th97.5%.This lea to estimate of US1,023,000,000. 97。5%的es不是等于95%的var吗

2021-05-10 15:15 1 · 回答

NO.PZ2018122701000007

2021-04-08 00:33 1 · 回答

NO.PZ2018122701000007

2021-03-31 01:58 1 · 回答