题目
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
选项
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
答案
B
解析
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: (16 14)/2=15.10％的观察值将落在或低于列出的30个观察值中的第三低观察值。 因此，VaR等于10。预期的短缺是超过VaR的观测值的平均值。 因此，预期的缺口等于：（16 14）/ 2 = 15。