Diana
2022-08-01 22:01l老師 可以解釋下其他選項嗎
所屬：FRM Part I > Valuation and Risk Models 視頻位置 相關(guān)試題
來源： 視頻位置 相關(guān)試題
1個回答
Cindy助教
2022-08-02 14:06
該回答已被題主采納
同學你好，A，VaR is the loss that will not be exceeded over a certain period with a certain probability. The probability is referred to as the significance level.
比如95%的VAR=100，意思是有95%的概率，損失不會超過100，這里的95%，指的是confidence level,而不是significance level
B.The expected shortfall is the expected loss conditional on the loss being equal or greater than the VaR level.
ES是超過VAR的損失數(shù)據(jù)取期望，不包含VAR本身，這里說的是 equal or greater than，應(yīng)該改成greater than
C.VaR satisfies the subadditivity (diversification) axiom.
VAR在極端情況下并不滿足次可加性，所以C錯了
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