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奔跑的咸鱼 · 2021年04月08日

为什么97.5%这个分位点的VAR不加进去呢？

  1. FRM II
  2. Market Risk Measurement And Management

NO.PZ2018122701000007

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.

为什么97.5%这个分位点的VAR不加进去呢？

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1 个答案

小刘_品职助教 · 2021年04月08日

同学你好，

因为定义就是是要算大于97.5%分位点的数，原版书也是要剔除分位点上的数字的。这个是重点需要掌握哦

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