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良爱洳 · 2021年03月13日

问一道题：NO.PZ2018122701000006 [ FRM II ]

  1. FRM II
  2. Market Risk Measurement And Management

问题如下：

After estimating the 99%, 1-day VaR of a bank’s portfolio to be USD 1,484 using historical simulation with 1000 past trading days, you are concerned that the VaR measure is not providing enough information about tail losses. You decide to re-examine the simulation results and sort the simulated daily P&L from worst to best giving the following worst 15 scenarios:

What is the 99%, 1-day expected shortfall of the portfolio?

选项：

A.

USD 433

B.

USD 1,285

C.

USD 1,945

D.

USD 2,833

解释：

C is correct.

考点 ： Expected Shortfall

解析 ： Expected Shortfall = Average of the worst 10 daily P&L= USD 1945

是否应该取1960和1751的平均值？

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小刘_品职助教 · 2021年03月13日

同学你好，

expected shortfall 的定义是所有损失超过VAR的均值，这里的话是99%的confidence，1000个交易日，所以损失超过VaR的就是最差10天的损失的均值。跟第5 第6个损失单独没有什么关系

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