NO.PZ2020011303000054
问题如下:
previous question:A one-year project has a 3% chance of losing USD 10million, a 7% chance of losing USD 3 million, and a 90% chance of gaining USD 1 million.
Suppose that there are two independent identical investments with the properties specified in the previous question. What are (a) the VaR and (b) the expected shortfall for a portfolio consisting of the two investments when the confidence level is 95% and the time horizon is one year?
选项:
解释:
Losses (USD) of 20, 13, 9, 6, 2, and −2 have probabilities of 0.0009, 0.0042, 0.054, 0.0049,
[0.0009×20+0.042×13+(0.05-0.0009-0.0042)×9]/0.05=9.534
9对应的权重是否可以为(0.9949-0.95)/(0.9949-0.9409)呢?
最终计算得出的ES=20*0.0009+13*0.0042+9*(0.9949-0.95)/(0.9949-0.9409)=7.556