标题: VAR quiz [打印本页] 作者: Carson 时间: 2011-7-11 19:35 标题: VAR quiz
XYZ 95% surplus at risk calculated to be $500 million for an annual horizon. The expected return on XYZ asset base (currently at $2 billion) is 5%. The plan has a surplus of $100 million. Jon uses a 5% probability level to calculate the minimum amount by which the plan will be underfunded next year.
Using Jon's 5% probability level, the minimum amount by which TXYZ plan will be underfunded next year is closest to:
A) $5 million.
B) $25 million.
C) $300 million.作者: IAmNeil 时间: 2011-7-11 19:35
C, but I will admit I have no idea the formula.
Just went with (2,000 * 1.05 + 100 - 500) - 2000
Edited 2 time(s). Last edit at Monday, May 23, 2011 at 01:59PM by Paraguay.作者: oneboy 时间: 2011-7-11 19:35
C, also think either too easy or there is a trick?作者: aidebaobao 时间: 2011-7-11 19:35
C? But you're not given standard deviation?作者: mar350 时间: 2011-7-11 19:35
I thought surplus at risk was only applied to the surplus not the whole asset base.作者: mp3bu 时间: 2011-7-11 19:35
Yes dont you need the std dev to answer this - var requires this (STD Dev * 1.65)?作者: Darien 时间: 2011-7-11 19:35
there is 1/4 a page in V5 about SAR (244-245)
this kind of question should not be tested,
where did you get it?作者: susana 时间: 2011-7-11 19:35
Answer = c
$300 million
The current surplus is $100 million, and the asset base is also expected to generate $100 million ($2,000 million
