FRM二级考试，考生易错题解析！送给备考的你！

发布时间：2021-02-01 09:07编辑：融跃教育FRM

在备考FRM二级考试中，常常有考生因为大意而做错题目。今天，小编就为大家分享一篇易错题，送给备考的你！

Which of the following statements comparing VaR with expected shortfall is true?

A) Expected shortfall is sub-additive while VaR is not.

B) Both VaR and expected shortfall measure the amount of capital an investor can expect to lose over a given time period and are, therefore, interchangeable as risk measures.

C) Both VaR and expected shortfall depend on the assumption of a normal distribution of returns.

D) VaR can vary according to the confidence level selected, but expected shortfall will not.

》》》戳：免·费领取FRM各科视频讲义+历年真题+21年原版书（PDF版）

免费领取资料

答案：A》》》想了解更多21年FRM备考技巧的点我咨询

解析：VaR measures the expected amount of capital one can expect to lose within a given confidence level over a given period of time. One of the problems with VaR is that it does not provide information about the expected size of the loss beyond the VaR.

VaR is often complemented by the expected shortfall, which measures the expected loss conditional on the loss exceeding the VaR. Note that since expected shortfall is based on VaR, changing the confidence level may change both measures.

Akey difference between the two measures is that VaR is not sub-additive, meaning that the risk of two funds separately may be lower than the risk of a portfolio where the two funds are combined. Violation of the sub-additive assumption is a problem with VaR that does not exist with expected shortfall.

翻译如下：

以下哪项将VaR与预期短缺进行比较的陈述是正确的？

A）预期缺口是次加性的，而VaR不是。

B）VaR和预期缺口衡量的是投资者在给定时间段内预期损失的资本量，因此，作为风险衡量指标是可互换的。

C）VaR和预期缺口都依赖于收益正态分布的假设。

D）VaR可以根据所选的置信水平而变化，但预期短缺不会变化。

答案：A【资料下载】点击下载FRM二级思维导图PDF版

解析：VaR衡量的是一个人在给定的信心水平下，在给定的时间段内，预期损失的资本额。VaR的一个问题是，它没有提供关于VaR之外的预期损失大小的信息。

VaR通常由预期亏损来补充，预期亏损以亏损超过VaR为条件来衡量预期亏损。请注意，由于预期亏损是基于VaR的，因此改变信心水平可能会改变这两种衡量标准。

这两个指标的最大区别在于VaR不是次加性的，这意味着两个基金单独投资的风险可能低于两个基金组合投资的风险。违反次加性假设是一个风险值的问题，不存在预期短缺。

如果考生想要了解更多有关FRM易错题的解析，可以在线咨询老师或者添加老师微信（rongyuejiaoyu）。带给你不一样的学习效果！

》》》进FRM学习群抽大奖啦！点我了解活动详情！