在備考FRM二級考試中，常常有考生因為大意而做錯題目。今天，小編就為大家分享一篇易錯題，送給備考的你！

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.

答案：A

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.

翻譯如下：

以下哪項將VaR與預期短缺進行比較的陳述是正確的？

A）預期缺口是次加性的，而VaR不是。

B）VaR和預期缺口衡量的是投資者在給定時間段內預期損失的資本量，因此，作為風險衡量指標是可互換的。

C）VaR和預期缺口都依賴于收益正態分布的假設。

D）VaR可以根據所選的置信水平而變化，但預期短缺不會變化。

答案：A【資料下載】點擊下載FRM二級思維導圖PDF版

解析：VaR衡量的是一個人在給定的信心水平下，在給定的時間段內，預期損失的資本額。VaR的一個問題是，它沒有提供關于VaR之外的預期損失大小的信息。

VaR通常由預期虧損來補充，預期虧損以虧損超過VaR為條件來衡量預期虧損。請注意，由于預期虧損是基于VaR的，因此改變信心水平可能會改變這兩種衡量標準。

這兩個指標的最大區別在于VaR不是次加性的，這意味著兩個基金單獨投資的風險可能低于兩個基金組合投資的風險。違反次加性假設是一個風險值的問題，不存在預期短缺。

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