文档介绍:专注国际财经教育 FRM一级模拟题 1 .Which of the following paring VAR with expected shortfall istrue? A. Expected shortfall is sub-additive while VAR is not. . B. Both VAR and expected shortfall measure the amount of capital an investorcan 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 normaldistribution of . VAR can vary according to the confidence level selected, but expectedshortfall will not. Answer: A 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 plemented by the expected shortfall, which measures the expected lossconditional on the loss exceeding the VAR. Note that since expected shortfall is based on VAR; changing the confidence level may change both measures. A key 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 bined. Viol