宋同學
2022-04-14 09:32var值除了不滿足次可加性，還有什么特點呢，特點希望用英語表示，謝謝老師
所屬：FRM Part I > Valuation and Risk Models 視頻位置 相關試題
來源： 視頻位置 相關試題
1個回答
吳珮瑤助教
2022-04-14 22:30
該回答已被題主采納
你好同學
Value at Risk：VaR is the maximum loss over a target horizon and for a given confidence level.
Limitations of VaR
The VaR only tells us the most we can lose if a tail event does not occur. (e.g., it tells us the most we can lose 95% of the time); if a tail event does occur, we can expect to lose more than the VaR, but the VaR itself gives us no indication of how much that might be.
VaR is not subadditive. We can only make the VaR subadditive by imposing the severe restriction that the P/L distribution is elliptically distributed. A single counter example: A portfolio with two identical bonds, A and B. Each defaults with probability 4%, and we get a loss of 100 if default occurs, and a loss of 0 if no default occurs. The 95% VaR violates subadditivity.
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