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shangc · 2024年07月21日

为什么不单独算VaR(A),VaR(B),然后再算Portfolio VaR?

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

1 个答案
已采纳答案

pzqa39 · 2024年07月22日

嗨,从没放弃的小努力你好:


先算两个单独VAR再算组合的VAR,只适用于收益率为0时的情况

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