NO.PZ2018122701000017
问题如下:
The annual mean and volatility of a portfolio are 10% and 40%, respectively. The current value of the portfolio is GBP 1,000,000. How does the 1-year 95% VaR that is calculated using a normal distribution assumption (normal VaR) compare with the 1-year 95% VaR that is calculated using the lognormal distribution assumption (lognormal VaR)?
选项:
A.Lognormal VaR is greater than normal VaR by GBP 130,400
B.Lognormal VaR is greater than normal VaR by GBP 175,900
C.Lognormal VaR is less than normal VaR by GBP 130,400
D.Lognormal VaR is less than normal VaR by GBP 175,900
解释:
C is correct.
考点Parametric Estimation Approaches
解析:Normal VAR=0.1-(1.645×0.4)=0.558,
Lognormal VAR=1-exp[0.1-(1.645×0.4)]=0.4276
Hence, lognormal VaR is smaller than Normal VaR by 13.04% per year. With a portfolio of GBP 1,000,000, this translates to GBP 130,400 .
老师,按照咱们讲义里面的 -mean+z*sigma
- 这个表达方式是不是就是算出来是正的 表达的就是损失
- 算出来是负的 那就是【负的损失】--> 就是盈利? (这是根据前面一道题总结出来的)
然后 我们平常用的 mean-z*sigema
- 算出来的是负的就代表就是损失 只不过套了个绝对值来表达
- 但是算出来是正的就说明是盈利的
请老师帮忙解答