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yanan · 2024年11月02日

这里的252天没有用上吗

  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

解释：

为啥daily 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

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1 个答案

pzqa27 · 2024年11月04日

嗨，努力学习的PZer你好：


题目给的是daily volatiliy而不是annual volatility， 如果给的是annual volatility，那么算daily volatility 的话需要除根号下252。

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努力的时光都是限量版，加油！

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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.US330B.US385C.US440US495这道题用的是哪个公式计算的

2024-10-18 01:04 2 · 回答