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Rachel杏怡 · 2024年09月23日

问题如下

  1. FRM II
  2. Risk Management And Investment Management

NO.PZ2016071602000011

问题如下：

A risk manager assumes that the joint distribution of returns is multivariate normal and calculates the following risk measures for a two-asset portfolio:

If asset 2 is dropped from the portfolio, what is the reduction in portfolio VAR?

选项：

A.

USD 15.0

B.

USD 38.3

C.

USD 44.0

D.

USD 46.6

解释：

B is correct. This is 61.6 minus the portfolio VAR of asset 1 alone, which is USD 23.3, for a difference of 38.3.

老师， 为什么 我们不能用 Var Contribution 那一列呢 ？ 就是 Portfolio drop 了 2 资产 , 直接就是少了 ：44 ？

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1 个答案

品职答疑小助手雍 · 2024年09月24日

嗨，从没放弃的小努力你好：


这里问的是incremental var 而不是contribution，在计算contribution的时候是考虑了组合中的相关性的。

去掉资产2就是单纯的加减，组合的总风险（考虑了相关性的）61.6 降到了只有资产1的风险23.3。

那么下降幅度就是61.6-23.3 =38.3。

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努力的时光都是限量版，加油！

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