95%转换成99%置信区间怎么做，为什么是2.33/1.65

NO.PZ2016072602000060

问题如下：

As a risk manager for Bank ABC, John is asked to calculate the market risk capital charge of the bank’s trading portfolio under the 1996 internal models approach. The VAR (95%, one-day) of the last trading day is USD 30,000; the average VAR (95%, one-day) for the last 60 trading days is USD 20,000. The multiplier is k=3. Assuming the return of the bank’s trading portfolio is normally distributed, what is the market risk capital charge of the trading portfolio?

选项：

USD 84,582

USD 189,737

USD 268,200

USD 134,594

解释：

C is correct. The average VAR times 3 is USD 60,000. Because this is higher than yesterday's VAR, this is the binding number. Multiplying by $\sqrt{10}$ x 2.323/1.645 = 4.47 gives USD 268,200.

添加评论

1 个答案

李坏_品职助教 · 2025年02月15日

嗨，努力学习的PZer你好：

先用平均的VaR乘以K得出60000，这个大于前一天的VaR，所以60000代表了95%置信度的1天的VaR。

既然是95%，那这个60000其实是用1.645的Z值求出来的（95%置信度的Z =1.645.）注意公式法的VaR = Z * σ * 根号T。

首先把1.645这个Z除掉，然后重新乘以99%的Z值2.323.

此外还需要考虑到，题目问的是10天的，所以乘以根号10. 最后是60000/1.645 * 2.323 * 根号10 = 267938.

----------------------------------------------
加油吧，让我们一起遇见更好的自己！

添加评论

1
回答
0
关注
3
浏览

我要回答关注问题

相关问题

NO.PZ2016072602000060 问题如下 a risk manager for Bank ABJohn is asketo calculate the market risk capitcharge of the bank’s trang portfolio unr the 1996 internmols approach. The V(95%, one-y) of the last trang y is US30,000; the average V(95%, one-y) for the last 60 trang ys is US20,000. The multiplier is k=3. Assuming the return of the bank’s trang portfolio is normally stribute whis the market risk capitcharge of the trang portfolio? US84,582 US189,737 US268,200 US134,594 C is correct. The average Vtimes 3 is US60,000. Because this is higher thyestery's VAR, this is the binng number. Multiplying 10\sqrt{10}10 x 2.323/1.645 = 4.47 gives US268,200. the market risk capitcharge 就是理解为 V capitloss?

2024-11-07 15:58 1 · 回答

NO.PZ2016072602000060 问题如下 a risk manager for Bank ABJohn is asketo calculate the market risk capitcharge of the bank’s trang portfolio unr the 1996 internmols approach. The V(95%, one-y) of the last trang y is US30,000; the average V(95%, one-y) for the last 60 trang ys is US20,000. The multiplier is k=3. Assuming the return of the bank’s trang portfolio is normally stribute whis the market risk capitcharge of the trang portfolio? US84,582 US189,737 US268,200 US134,594 C is correct. The average Vtimes 3 is US60,000. Because this is higher thyestery's VAR, this is the binng number. Multiplying 10\sqrt{10}10 x 2.323/1.645 = 4.47 gives US268,200. 计算market risk charge 其实就是basel要求的对应的VAR。先比较昨天的和过去60天*k的，谁大用谁。然后再把大的60000，调整成99% 10天？

2023-11-14 15:17 1 · 回答

NO.PZ2016072602000060 问题如下 a risk manager for Bank ABJohn is asketo calculate the market risk capitcharge of the bank’s trang portfolio unr the 1996 internmols approach. The V(95%, one-y) of the last trang y is US30,000; the average V(95%, one-y) for the last 60 trang ys is US20,000. The multiplier is k=3. Assuming the return of the bank’s trang portfolio is normally stribute whis the market risk capitcharge of the trang portfolio? US84,582 US189,737 US268,200 US134,594 C is correct. The average Vtimes 3 is US60,000. Because this is higher thyestery's VAR, this is the binng number. Multiplying 10\sqrt{10}10 x 2.323/1.645 = 4.47 gives US268,200. 老师VaR的计算不是单尾吗，那为什么这里不是除以1.96，反而用的是1.65

2022-11-04 21:00 1 · 回答

NO.PZ2016072602000060 为什么乘以根十？

2022-03-07 20:52 1 · 回答