题目
A market risk manager uses historical information on 1,000 days of profit/loss information to calculate a daily VaR at the 99th percentile, of USD 8 million. Loss observations beyond the 99th percentile are then used to estimate the conditional VaR. If the losses beyond the VaR level, in millions, are USD 9, USD 10, USD 11, USD 13, USD 15, USD 18, USD 21, USD 24, and USD 32, then what is the conditional VaR?
选项
A.USD 9 million
B.USD 32 million
C.USD 15 million
D.USD 17 million
答案
D
解析
Conditional VaR=(USD 9+USD 10+USD 11+USD 13+USD 15+USD 18+USD 21+USD 24+USD 32)/9=17millionConditional VaR=(USD 9 USD 10 USD 11 USD 13 USD 15 USD 18 USD 21 USD 24 USD 32)/9=17million