NO.PZ2019042401000057
问题如下：
An investment fund uses risk budgeting as part of its risk management process. Risk is calculated and monitored using delta-normal VaR at the 99% confidence level. The fund’s total principal of EUR 100 million is invested across four asset classes comprised of European stocks, non-European stocks, European bonds, and non-European bonds. The total volatility profile of the fund is maintained at 5%. Information on the four asset classes is given below:
What is the sum of the risk budgets that should be allocated to the four asset classes?
选项：
A.
EUR 22.12 million
B.
EUR 11.64 million
C.
EUR 38.86 million
D.
EUR 100.0 million
解释：
A is correct:
B is incorrect. EUR 11.64 million is the VaR of the fund: 100 x 5% x 2.33 = 11.64
C is incorrect. EUR 38.86 million is found when volatilities are multiplied by EUR 100 million and added together.
D is incorrect. EUR 100 million is the principal amount.
、isk Management and Investment Management
Describe the risk budgeting process and calculate risk budgets across asset classes and active managers.
为什么不把volatility开根号再带入计算
