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🧸苏小糖yb💚 · 2024年05月06日

这个题不太理解

NO.PZ2023091601000094

问题如下:

A risk manager has been requested to provide some indication of accuracy of a Monte Carlo simulation. Using 1,000 replications of a normally distributed variable S, the relative error in the one-day 99% VaR is 5%. Under these conditions:

选项:

A.

Using 1,000 replications of a long option position on S should create a larger relative error.

B.

Using 10,000 replications should create a larger relative error.

C.

Using another set of 1,000 replications will create an exact measure of 5.0% for relative error.

D.

Using 1,000 replications of a short option position on S should create a larger relative error.

解释:

Short option positions have long left tails, which makes it more difficult to estimate a left-tailed quantile precisely. Accuracy with independent draws increases with the square root of K. Thus increasing the number of replications should shrink the standard error, so answer B is incorrect.

Long option是右偏,重复应该也会导致erro 变大不是吗

Long和short重复对残差影响的区别是什么

1 个答案

李坏_品职助教 · 2024年05月07日

嗨,努力学习的PZer你好:


做多期权,亏损是有限的,这样对于Left tail没有太大的影响。我们计算VaR或者ES,都是属于对极端损失的评估,主要看的就是Left tail,对于right tail不需要关注。


做空期权,亏损是无限的,尤其是做空call option,股价涨的越多,你亏的越多。所以short option position会带来很长的left tail,这样会产生分位点计算的更大误差。D选项正确。

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