NO.PZ2016082404000011
问题如下:
John Flag, the manager of a $150 million distressed bond portfolio, conducts stress tests on the portfolio. The portfolio’s annualized return is 12%,with an annualized return volatility of 25%. In the past two years, the portfolio encountered several days when the daily value change of the portfolio was more than 3 standard deviations. If the portfolio would suffer a 4-sigma daily event, estimate the change in the value of this portfolio.
选项:
A.
$9.48 million
B.
$23.70 million
C.
$37.50 million
D.
$150 million
解释:
ANSWER: A
First, we transform the volatility into a daily measure, which is .
解析:有一个基金经理管理着150m美元不良债券投资组合,他对投资组合进行压力测试。 该投资组合的年化收益率为 12%,年化收益率波动率为 25%。 在过去的两年中,投资组合遇到了几天投资组合的每日价值变化超过 3 个标准差的情况。 如果投资组合每天价值变化超过4个标准差,请估计该投资组合的价值变化。
daily σ=25%*(252^0.5)=1.57%
组合价值在一天内变化达到4个标准差,变动值就是组合价值*4*标准差=150m*4*1.57%=9.48m
选A。
请问既然是标准差,不是应该乘以根号4么?