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水瓶公主 · 2023年10月25日

减少的不应该是组合2的var吗

  1. FRM II
  2. Risk Management And Investment Management

NO.PZ2016071602000011

问题如下：

A risk manager assumes that the joint distribution of returns is multivariate normal and calculates the following risk measures for a two-asset portfolio:

If asset 2 is dropped from the portfolio, what is the reduction in portfolio VAR?

选项：

A.

USD 15.0

B.

USD 38.3

C.

USD 44.0

D.

USD 46.6

解释：

B is correct. This is 61.6 minus the portfolio VAR of asset 1 alone, which is USD 23.3, for a difference of 38.3.

拿掉组合2，整个var不应该就是减去var2吗？为什么还要剪去var1

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1 个答案

李坏_品职助教 · 2023年10月25日

嗨，从没放弃的小努力你好：


题目说的是，现在有两个资产1和2，这俩资产一起组成了一个portfolio。现在拿掉了资产2，问我们portfolio的VaR会下降多少？


拿掉了资产2，Portfolio里面只剩下资产1了，所以拿掉资产2之后的Portfolio的VaR是23.3。

拿掉资产2之前的Portfolio的VaR是61.6。

所以Portfolio的VaR下降了61.6-23.3 = 38.3

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