NO.PZ2018122701000013
问题如下:
If volatility (0) is the current (today’s) volatility estimate and volatility (t) is the volatility estimate on a previous day (t), which best describes volatility-weighted historical simulation?
选项:
A.First conduct typical historical simulation (HS) on return series. Then multiply VaR by volatility(0)/volatility(t)
B.First conduct typical historical simulation (HS) on return series. Then multiply VaR by volatility(t)/volatility(0)
C.Each historical return (t) is replaced by: return (t)*volatility (0)/volatility (t). Then conduct typical historical simulation (HS) on adjusted return series.
D.Each historical return (t) is replaced by: return (t)*volatility (t)/volatility (0). Then conduct typical historical simulation (HS) on adjusted return series.
解释:
C is correct.
考点Weighted Historic Simulation Approaches
解析Each historical return (t) is replaced by: return(t) × volatility(0)/volatility(t). Then conduct typical historical simulation (HS) on adjusted return series
For example, if on the historical day (t), the return(t) was -2.0% and volatility(t) was 10%, while today’s volatility estimate is 20%, then the adjusted return is -2.0% × 20%/10% = - 4.0% . In this way, "Actual returns in any period t are therefore increased (or decreased), depending on whether the current forecast of volatility is greater (or less than) the estimated volatility for period t. We now calculate the HS P/L using [the adjusted returns] instead of the original data set, and then proceed to estimate HS VaRs or ESs in the traditional way (i.e., with equal weights, etc.).
老师First conduct typical historical simulation (HS) on return series怎么理解?