麻烦给个过程和知识点谢谢

NO.PZ2023100905000004

问题如下：

The owner of USD 200 million portfolio wants to estimate the 1-day 99% liquidity-adjusted VaR using the random spread approach. The portfolio daily mean return is zero with daily volatility of 1.4%. The bid-ask spread on the portfolio has a daily mean of 0.1% and standard deviation of 0.2%. If the confidence parameter of the spread is equal to 3, what is the daily liquidity cost adjustment that should be added to VaR?

选项：

USD 0.30 million

USD 0.60 million

USD 0.70 million

USD 1.50 million

解释：

麻烦给个过程和知识点谢谢

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1 个答案

李坏_品职助教 · 2024年05月15日

嗨，努力学习的PZer你好：

考点是Random Spread Approach:

本题给出 bid-ask spread的mean是0.1%，所以μs = 0.1%, 而σs = 0.2%, Zα就是confidence parameter。

题目最后问的是daily liquidity cost adjustment是多少？这个指的是0.5×(μs + Zα × σs) ×V = 0.5 ×(0.1% + 3×0.2%)×200million = 0.7 million, 所以选C。

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