NO.PZ2023100703000021
问题如下:
The bank’s trading book consists of the following two assets:
Correlation (A, B) = 0.2
How would the daily VaR at 99% level change if the bank sells 50 worth of asset A and buys 50 worth of asset B?
Assume there are 250 trading days in a year.
选项:
A.0.2286
B.0.4776
C.0.7705
D.0.7798
解释:
The trade will decrease the VaR by 0.4776麻烦写下知识点和过程