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水瓶公主 · 2023年03月17日

可以用权重求出波动率后,最后用1.88*波动率*5^0.5*30000吗

NO.PZ2020011303000068

问题如下:

Consider a position consisting of a USD 10,000 investment in asset X and a USD 20,000 investment in asset Y. Assume that the daily volatilities of X and Y are 1% and 2% and that the coefficient of correlation between their returns is 0.3. What is the five-day VaR with a 97% confidence level?

解释:

The standard deviation of the daily changes in the assets are (in USD) 100 and 400. The standard deviation of the daily change in the portfolio is (100^2+400^2+2×100×400×0.3)^0.5=440.5

The standard deviation of the five-day change is the square root of 5 multiplied by the one-day standard deviation, which is USD 984.9. The 97% VaR is 1.88 times this, which is USD 1852.4.

题目问:有一个头寸包含10,000$的资产X20,000$的资产Y,假设每日波动是1%2%,相关系数是0.3,求597%VaR?

每日波动的dollar值:X=10,000*1%=100Y=20,000*2%=400

组合每日的波动=(100^2+400^2+2×100×400×0.3)^0.5=440.5

597%VAR=440.5*(5)^0.5*1.88=1852.4

最后算var的时候乘以金额

1 个答案

李坏_品职助教 · 2023年03月17日

嗨,努力学习的PZer你好:


也可以,这样算出来结果是一样的。

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