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C_M_ · 2024年10月18日

计算

  1. FRM II
  2. Risk Management And Investment Management

NO.PZ2023101902000031

问题如下：

A pension fund holds the following long positions on a non-dividend-paying biotech stock that is currently trading at USD 90:70 call options with strike price of USD 70 and one month to expiration. 20 call options with strike price of USD 110 and one month to expiration. 80 forward contracts with one month to maturity. Each contract is on one share. If the daily volatility of the stock returns is 1.57% with a mean daily return of 0%, which of the following amounts would be closest to the 1-day 99% VaR of the portfolio, assuming 252 trading days in a year?

选项：

A.USD 330

B.USD 385

C.USD 440

D.USD 495

这道题用的是哪个公式计算的

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2 个答案

pzqa27 · 2024年10月21日

嗨，努力学习的PZer你好：


题目说了“Each contract is on one share.”那么一共是70个call+20个 call+80个forward，一共是170股，但是其中20个call 的执行价是110，属于deep OTM,它的delta是0，因此总的delta=70+0+80=150

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努力的时光都是限量版，加油！

pzqa27 · 2024年10月18日

嗨，爱思考的PZer你好：


这个题考察的是VaR mapping.组合的delta 是150，个股的VaR=90*2.33*1.57%, 然后个股的VaR*组合的delta就得到了组合的VaR,结果大概为493.84，选D


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就算太阳没有迎着我们而来，我们正在朝着它而去，加油！

C_M_ · 2024年10月18日

组合delta是怎么算的

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NO.PZ2023101902000031 问题如下 A pension funhol the following long positions on a non-vinpaying biotestothis currently trang US90:70 call options with strike priof US70 anone month to expiration. 20 call options with strike priof US110 anone month to expiration. 80 forwarcontracts with one month to maturity. Eacontrais on one share. If the ily volatility of the storeturns is 1.57% with a meily return of 0%, whiof the following amounts woulclosest to the 1-y 99% Vof the portfolio, assuming 252 trang ys in a year? A.US330 B.US385 C.US440 US495 为啥ily 波动率不是1.57%除以根号下252呢给的每日波动率应该也是年化的啊

2024-11-02 10:18 1 · 回答