【估值與風險模型】FRM一級每日練習題
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: .png)
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