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seven-zhu · 2023年02月26日

如题

  1. FRM II
  2. Market Risk Measurement And Management

NO.PZ2018122701000018

问题如下：

The bank’s trading book consists of the following two assets:

Correlation (A, B) = 0.2

How would the daily VaR at 99% level change if the bank sells $50 worth of asset A and buys $50 worth of asset B?

Assume there are 250 trading days in a year.

选项：

A.

$0.2286

B.

$0.4776

C.

$0.7705

D.

$0.7798

解释：

B is correct.

考点 ： Parametric Estimation Approaches

解析 ： The trade will decrease the VaR by 0.4776。

易错点：求daily VaR，但题干给的是annual return。

t=0，组合由$100A+$50B构成，μP =13.33%, 由年转化为天，13.33%/250=0.0533%.

σP =19.15%, 由年转化为天, 19.15%/SQRT(250)=1.2111%

daily 99%VaR=（2.33*1.2111%-0.0533%）*$150=$4.1528

t=1，组合由$50A+$100B构成，μP =16.66%, 由年转化为天，16.66%/250=0.0667%.

σP =17.08%, 由年转化为天, 17.08%/SQRT(250)=1.0801%

daily 99%VaR=（2.33*1.0801%-0.0667%）*$150=$3.6749

所以$4.1528-$3.6749=0.4779，最接近的是B选项。

计算组合VAR的时候，什么情况下是先计算，组合的Mean和sd，然后带入-mean + Z*sigma的公式；什么情况下是分别计算单个资产的VAR，然后用VARa^2+VARb^2+2*VARa*VARb*rho计算呢。

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pzqa27 · 2023年02月27日

嗨，爱思考的PZer你好：


都可以，这俩本质上是一回事，我大概证明下，您明白原理就行。这个题由于涉及到均值，推荐是优先使用解析的方法解，也就是优先使用VaR的定义去解题，要使用组合的VaR与单一资产VaR的关系来解题的话由于牵扯到均值的考量会比较繁琐

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加油吧，让我们一起遇见更好的自己！

pzqa27 · 2023年07月10日

嗨，努力学习的PZer你好：


请问您觉得哪一步有问题？我们可以继续探讨

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

天天 · 2023年07月09日

这个解答是错的吧啊啊啊啊啊

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