请问这题为什么这样算?而不是求一年的95%的var?
问题如下图:
选项:
A.
B.
C.
D.
解释:
Consir the following information. You have purchase10,000 barrels of oil for livery in one yea priof $25/barrel. The rate of change of the priof oil is assumeto normally stributewith zero meanannuvolatility of 30%. Margin is to paiwithin two ys if the cret exposure becomes greater th$50,000. There are 252 business ys in the year. Assuming enforceability of the margin agreement, whiof the following is the closest number to the 95% one-yecret risk of this governeunr the margining agreement? $50,000 $58,000 $61,000 $123,000 ANSWER: C The worst cret exposure is the $50,000 plus the worst move over two ys the 95% level. The worst potentimove is ασT=1.645×30%×2252=4.40%\alpha\sigma\sqrt T=1.645\times30\%\times\sqrt{\frac2{252}}=4.40\%ασT =1.645×30%×2522 =4.40%. Applieto the position worth $250,000, this gives a worst move of $10,991. Aing this to $50,000 gives $60,991. 题目问whiof the following is the closest number to the 95% one-yecret risk 既然是问的one year的cret risk,为什么求Var的时候要转换成有两天敞口的呢?
老师好,我不太明白这里的实际操作。意思是我买了一个futures,一年后25 块钱买10,000桶油。标的物价值250,000然后如果油价下跌到20以下,我要交保证金,就是说我的potentiloss 超过50,000的时候,我开始交保证金。然后我的cret risk ,如果以worst case 衡量,来自于这50,000(这个明白) + “worst move over two ys 95% level”(这里不明白)其实我尤其不明白的是我亏钱的时候交margin,作为有损失的一方,我面临的是什么cret risk?
根号T里面的那个2是怎么回事呀
为什么要加上50000?
10991为啥要加上50000??