劃重點(diǎn)！FRM P2 市場(chǎng)風(fēng)險(xiǎn)重要知識(shí)點(diǎn)-VaR的計(jì)算

FRM考生注意！劃重點(diǎn)啦！今日整理知識(shí)點(diǎn)：FRM P2 市場(chǎng)風(fēng)險(xiǎn)重要知識(shí)點(diǎn)-VaR的計(jì)算。市場(chǎng)風(fēng)險(xiǎn)計(jì)量與管理在FRM考試科目中可以算是一個(gè)知識(shí)點(diǎn)較多的板塊，且在整個(gè)考試中的占比為20%，分?jǐn)?shù)占比還是很高的，大家一定要重點(diǎn)進(jìn)行學(xué)習(xí)??！

正保會(huì)計(jì)網(wǎng)校的老師也為備考的同學(xué)們總結(jié)了FRM考試P2部分市場(chǎng)風(fēng)險(xiǎn)科目的重要知識(shí)點(diǎn)，結(jié)合精選例題，給大家做了細(xì)致的講解，一起來學(xué)習(xí)一下吧！

先來看看Alex老師的整體知識(shí)點(diǎn)介紹，更好理解呦！

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 ●知識(shí)點(diǎn)：VaR的計(jì)算● 

Normal VaR：

Lognormal VaR： 

?？键c(diǎn)：

1. 95%的VaR使用的關(guān)鍵值是1.65，99%的VaR使用的關(guān)鍵值是2.33。

2. VaR不滿足次可加性，不是一致風(fēng)險(xiǎn)度量。

例題：

The annual mean and volatility of a portfolio are 10% and 40%, respectively. The current value of the portfolio is GBP 100,000. How does the 1-year 99% VaR that is calculated using a normal distribution assumption (normal VaR) compare with the 1-year 99% VaR that is calculated using the lognormal distribution assumption (lognormal VaR)?

A. Lognormal VaR is greater than normal VaR by GBP 13,040

B. Lognormal VaR is greater than normal VaR by GBP 26,718

C. Lognormal VaR is less than normal VaR by GBP 13,040

D. Lognormal VaR is less than normal VaR by GBP 26,5718

【正確答案】D

【答案解析】Normal VaR = - 0.1 + 2.33*0.4| = 0.8320;

Lognormal VaR = 1 – exp[0.1 – 2.33*0.4] = 0.5648;

Hence, with a portfolio of GBP 100,000 this translates to GBP 26,718.

以上就是FRM P2 市場(chǎng)風(fēng)險(xiǎn)重要知識(shí)點(diǎn)-VaR的計(jì)算的相關(guān)內(nèi)容，后期小編會(huì)持續(xù)給大家更新相關(guān)重要知識(shí)點(diǎn)，小伙伴們可以關(guān)注【 備考經(jīng)驗(yàn) 】欄目查看！

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