世纪之龙5 · 2024年03月18日
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.
如题
pzqa39 · 2024年03月18日
嗨，爱思考的PZer你好：
组合的VaR不等于单个资产的VaR相加，因为还要考虑资产的相关性。这题的思考方法是这样的，组合整体的VaR是61.6，将资产2从组合中移除时，组合只剩下资产1，资产1的VaR是23.3，变动就等于61.6-23.3=38.3。
拿走之前组合的VAR是61.6，拿走之后组合的VAR就等于资产1的VAR等于23.3，两者作差得到reduction。
----------------------------------------------努力的时光都是限量版，加油！
世纪之龙5 · 2024年03月18日
但是cvar加起来不是等于1吗，不是可以理解为cvar就是减少量吗
NO.PZ2016071602000011问题如下A risk manager assumes ththe joint stribution of returns is multivariate normancalculates the following risk measures for a two-asset portfolio:If asset 2 is oppefrom the portfolio, whis the rection in portfolio VAR?A.US15.0B.US38.3C.US44.0US46.6B is correct. This is 61.6 minus the portfolio Vof asset 1 alone, whiis US23.3, for a fferenof 38.3.老师， 为什么 我们不能用 VContribution 那一列呢 ？ 就是 Portfolio op 了 2 资产 , 直接就是少了 44 ？
NO.PZ2016071602000011问题如下A risk manager assumes ththe joint stribution of returns is multivariate normancalculates the following risk measures for a two-asset portfolio:If asset 2 is oppefrom the portfolio, whis the rection in portfolio VAR?A.US15.0B.US38.3C.US44.0US46.6B is correct. This is 61.6 minus the portfolio Vof asset 1 alone, whiis US23.3, for a fferenof 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
NO.PZ2016071602000011 问题如下 A risk manager assumes ththe joint stribution of returns is multivariate normancalculates the following risk measures for a two-asset portfolio:If asset 2 is oppefrom the portfolio, whis the rection in portfolio VAR? A.US15.0 B.US38.3 C.US44.0 US46.6 B is correct. This is 61.6 minus the portfolio Vof asset 1 alone, whiis US23.3, for a fferenof 38.3. 老师组合中两个资产拿掉一个资产不应该用CVaR来考虑吗？所以拿掉的部分不就是组合中减少的VAR了吗？那不就是44吗？这个思路错在哪里
NO.PZ2016071602000011问题如下A risk manager assumes ththe joint stribution of returns is multivariate normancalculates the following risk measures for a two-asset portfolio:If asset 2 is oppefrom the portfolio, whis the rection in portfolio VAR? A.US15.0 B.US38.3 C.US44.0 US46.6B is correct. This is 61.6 minus the portfolio Vof asset 1 alone, whiis US23.3, for a fferenof 38.3.我的理解是如果把第一个资产拿掉的话，这是portfolio var是多少。 老师在课堂上不是说过component var考虑了分散化，所有资产的cvar加和等于portfolio var。那么为什么不用原来的portfolio v减去asset 1的cv而得到新的porfolio var呢
