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Fair · 2022年01月24日

ES为什么是不稳定?

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. 

这题还是没办法明白究竟什么意思。能否详细解释一下。

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. 

1 个答案
已采纳答案

李坏_品职助教 · 2022年01月25日

嗨,爱思考的PZer你好:


这道题让选择错误的选项。


ES的计算原理是:算出超过VaR阈值那部分loss的均值。ES的计算结果依赖于损失分布函数,如果损失分布函数不稳定,那么VaR的计算结果和ES都会变化很大。所以ES的稳定性依赖于loss distribution,而不是C项说的regardless of loss distribution.



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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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