備考FRM二級考試，需要對風(fēng)險價值屬性熟練掌握。下文是對關(guān)于風(fēng)險價值屬性的例題解析，一起了解一下！

Hugo Nelson is preparing a presentation on the attributes of value at risk. Which of Nelson’s following statements is not correct?》》》2021年新版FRM一二級內(nèi)部資料免·費領(lǐng)??！【精華版】

2021FRM備考資料大禮包


(A) VaR can account for the diversified holdings of a financial institution,reducing capital requirements.

(B) VaR(10%) = $0 indicates a positive dollar return is likely to occur on 90 out of 100 days.

(C) VaR(1%) can be interpreted as the number of days that a loss in portfolio value will exceed 1%.

(D) VaR was developed in order to more closely represent the economic capital necessary to ensure commercial bank solvency.

翻譯：【資料下載】點擊下載融躍教育FRM考試公式表

雨果·尼爾森正在準(zhǔn)備一份關(guān)于風(fēng)險價值屬性的報告。尼爾森的下列哪項陳述是不正確的？

（A） VaR可以解釋金融機(jī)構(gòu)持有的多樣化資產(chǎn)，降低資本要求。

（B） VaR（10%）=$0表示美元正收益可能出現(xiàn)在100天中的90天。

（C） VaR（1%）可以解釋為投資組合價值損失超過1%的天數(shù)。

（D） VaR是為了更緊密地代表商業(yè)銀行償付能力所必需的經(jīng)濟(jì)資本而發(fā)展起來的。

答案：C 》》》點擊咨詢FRM特惠課程

解析：VAR is defined as the dollar or percentage loss in portfolio value that will be exceeded only X% of the time. VAR(10%) = $0 indicates that there is a 10% probability that on any given day the dollar loss will be greater than $0.Alternatively, we can say there is a 90% probability that on any given day the dollar gain will be greater than $0. VAR was developed by commercial banks to provide a more accurate measure of their economic capital requirements, taking into account the effects of diversification.

如果你在FRM學(xué)習(xí)方面遇見不同的困難，不妨與融躍老師在線聯(lián)系或者添加老師微信（rongyuejiaoyu），讓老師為你進(jìn)行專業(yè)的解答。

進(jìn)群領(lǐng)取免費資料

進(jìn)群領(lǐng)取免費資料，學(xué)習(xí)FRM啦！