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5326金融与交易中等数值题short

Historical VaR And ES With Central Hedge Desk

题目

Three books are shocked under the same five scenarios. Desk A losses are [2, 5, 1, 4, 3], Desk B losses are [1, 0, 3, 2, 2], and a central hedge desk contributes [-1, 0, -1, 0, -1] where negative numbers mean gains. After aggregating scenario by scenario, what are historical VaR and ES at alpha=0.8 using the ceil(alpha*n) convention?

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你的答案

VaR

ES