老师帮忙看看我的理解对不对

NO.PZ2016072602000060

问题如下：

As a risk manager for Bank ABC, John is asked to calculate the market risk capital charge of the bank’s trading portfolio under the 1996 internal models approach. The VAR (95%, one-day) of the last trading day is USD 30,000; the average VAR (95%, one-day) for the last 60 trading days is USD 20,000. The multiplier is k=3. Assuming the return of the bank’s trading portfolio is normally distributed, what is the market risk capital charge of the trading portfolio?

选项：

USD 84,582

USD 189,737

USD 268,200

USD 134,594

解释：

C is correct. The average VAR times 3 is USD 60,000. Because this is higher than yesterday's VAR, this is the binding number. Multiplying by $\sqrt{10}$ x 2.323/1.645 = 4.47 gives USD 268,200.

计算market risk charge 其实就是basel要求的对应的VAR。先比较昨天的和过去60天*k的，谁大用谁。然后再把大的60000，调整成99% 10天？

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李坏_品职助教 · 2023年11月14日

嗨，爱思考的PZer你好：

对的，就是先比较取较大值，然后把95%的VaR转换为99%的VaR就行了。

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就算太阳没有迎着我们而来，我们正在朝着它而去，加油！

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NO.PZ2016072602000060 问题如下 a risk manager for Bank ABJohn is asketo calculate the market risk capitcharge of the bank’s trang portfolio unr the 1996 internmols approach. The V(95%, one-y) of the last trang y is US30,000; the average V(95%, one-y) for the last 60 trang ys is US20,000. The multiplier is k=3. Assuming the return of the bank’s trang portfolio is normally stribute whis the market risk capitcharge of the trang portfolio? US84,582 US189,737 US268,200 US134,594 C is correct. The average Vtimes 3 is US60,000. Because this is higher thyestery's VAR, this is the binng number. Multiplying 10\sqrt{10}10 x 2.323/1.645 = 4.47 gives US268,200. 老师VaR的计算不是单尾吗，那为什么这里不是除以1.96，反而用的是1.65

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NO.PZ2016072602000060 为什么乘以根十？

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NO.PZ2016072602000060 为什么在前一天的VaR和过去60天平均的VaR中选择了较小的那一呢？能帮忙指出这部分在1996 Amenng的讲义里哪一部分吗？因为我只在后面巴3的修正中看到要在risk capital中增加stresseVaR，而这个VaR用的是前一天和过去六十天平均的较大值。谢谢

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为何是除以95%对应的1.645？另外，，2.323是什么？

2018-10-14 18:54 1 · 回答

老师帮忙看看我的理解对不对

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