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$的资产X,20,000$的资产Y,假设每日波动是1%和2%,相关系数是0.3,求5天97%的VaR?
每日波动的dollar值:X=10,000*1%=100,Y=20,000*2%=400
组合每日的波动=(100^2+400^2+2×100×400×0.3)^0.5=440.5
5天97%的VAR=440.5*(5)^0.5*1.88=1852.4
最后算var的时候乘以金额