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金融民工阿聪 · 2021年03月31日

C那怎么样的分布,ES就会稳定呢

NO.PZ2018122701000020

问题如下:

It is not always apparent how risk should be quantified for a given bank when there are many different possible risk measures to consider. Prior to defining specific measures, one should be aware of the general characteristics of ideal risk measures. Such measures should be intuitive, stable, easy to understand, coherent, and interpretable in economic terms. In addition, the risk decomposition process must be simple and meaningful for a given risk measure. Standard deviation, value at risk (VaR), expected shortfall (ES), and spectral and distorted risk measures are commonly used measures to calculate economic capital. However, it is not easy to select a risk measure to calculate economic capital, as each measure has its respective pros and cons. Which of the following statements pertaining to the pros and cons of these risk measures is not accurate? 

选项:

A.

Standard deviation does not have the property of monotonicity, and therefore, it is not coherent. 

B.

VaR does not have the property of subadditivity, and therefore; it is not coherent. 

C.

ES is not stable regardless of the loss distribution. 

D.

Spectral and distorted risk measures are neither intuitive nor commonly used in practice.

解释:

C is correct.

考点 Coherent Risk Measures

解析 Expected shortfall’s stability as a measure of risk depends on the loss distribution. 

C那怎么样的分布,ES就会稳定呢

1 个答案

小刘_品职助教 · 2021年03月31日

同学你好,

书上没有明确说,大体来说,如果损失分布比较均匀(不存在厚尾的问题),且样本数量比较大的话ES相对会稳定一些。

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NO.PZ2018122701000020 问题如下 It is not always apparent how risk shoulbe quantifiefor a given bank when there are many fferent possible risk measures to consir. Prior to fining specific measures, one shoulaware of the genercharacteristiof irisk measures. Sumeasures shoulbe intuitive, stable, easy to unrstan coherent, aninterpretable in economic terms. In aition, the risk composition process must simple and meaningful for a given risk measure. Stanrviation, value risk (VaR), expecteshortfall (ES), anspectranstorterisk measures are commonly usemeasures to calculate economic capital. However, it is not easy to select a risk measure to calculate economic capital, eameasure hits respective pros ancons. Whiof the following statements pertaining to the pros ancons of these risk measures is not accurate?  Stanrviation es not have the property of monotonicity, antherefore, it is not coherent.  Ves not have the property of subaitivity, antherefore; it is not coherent.  ES is not stable regaress of the loss stribution.  Spectranstorterisk measures are neither intuitive nor commonly usein practice. C is correct. 考点 : Coherent Risk Measures 解析 : Expecteshortfall’s stability a measure of risk pen on the loss stribution.  Spectranstorterisk measures are neither intuitive nor commonly usein practice.

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