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为什么不单独算VaR(A),VaR(B),然后再算Portfolio VaR?
VaR(A)=|0.1/250-2.33*0.25/√250|=0.036441
VaR(B)=|0.2/250-2.33*0.2/√250| =0.028672
VaR(Portfolio)²=w1²VaR(A)²+w2²VaR(B)²+2w1w2VaR(A)VaR(B)=0.0007744
VaR(Portfolio)=0.027828