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【估值与风险模型】FRM一级每日练习题

发表时间: 2015-03-05 10:49:49 编辑:金程frm

【估值与风险模型】FRM一级每日练习题

【估值与风险模型】FRM一级每日练习题

Given the following 30 ordered simulated percentage returns of an asset, calculate the VaR and expected shortfall (both expressed in terms of returns) at a 90% confidence level.-16, -14, -10, -7, -7, -5, -4, -4, -4, -3, -1, -1, 0, 0, 0, 1, 2, 2, 4, 6, 7, 8, 9, 11, 12, 12, 14, 18, 21, 23

A. VaR (90%) = 10, Expected shortfall = 14

B. VaR (90%) = 10, Expected shortfall = 15

C. VaR (90%) = 14, Expected shortfall = 15

D. VaR (90%) = 18, Expected shortfall = 22

Answer: B

10% of the observations will fall at or below the 3rd lowest observation of the 30 listed. Therefore, the VaR equals 10. The expected shortfall is the mean of the observations exceeding the VaR. Thus, the expected shortfall equals: .

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