FRM考生注意！划重点啦！今日整理要点：FRM P2 市场风险重点知识-VaR的计算。市场风险计量与管理在FRM考试科目中可以算是一个要点较多的板块，且在整个考试中的占比为20%，分数占比还是非常高的，大伙必须要重点进行学习！！
正保会计网校的老师也为备考的同学们概要了FRM考试P2部分市场风险科目的重点知识，结合甄选例题，给大伙做了细致的解说，一块儿学习一下吧！
先来看看Alex老师的整体要点介绍，更好理解呦！
↓↓↓
video
●要点：VaR的计算●
Normal VaR：
Lognormal VaR：
常考试知识点：
1. 95%的VaR用的重要值是1.65，99%的VaR用的重要值是2.33。
2. VaR不满足次可加性，不是一致风险度量。
例题：
The annual mean and volatility of a portfolio are 10% and 40%, respectively. The current value of the portfolio is GBP 100,000. How does the 1-year 99% VaR that is calculated using a normal distribution assumption (normal VaR) compare with the 1-year 99% VaR that is calculated using the lognormal distribution assumption (lognormal VaR)?
A. Lognormal VaR is greater than normal VaR by GBP 13,040
B. Lognormal VaR is greater than normal VaR by GBP 26,718
C. Lognormal VaR is less than normal VaR by GBP 13,040
D. Lognormal VaR is less than normal VaR by GBP 26,5718
【正确答案】D
【答案分析】Normal VaR = - 0.1 + 2.33*0.4| = 0.8320;
Lognormal VaR = 1 – exp[0.1 – 2.33*0.4] = 0.5648;
Hence, with a portfolio of GBP 100,000 this translates to GBP 26,718.
以上就是FRM P2 市场风险重点知识-VaR的计算的有关内容，后期我们会持续给大伙更新有关重点知识，小伙伴们可以关注【备考经验】栏目查询！