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ciaoyy · 2019年06月30日

问一道题:NO.PZ2016072602000032

问题如下图:

    

选项:

A.

B.

C.

D.

解释:


两个疑惑:

1.题目里用到的数据都是year-basis的,怎么答案会说是daily-basis?

2.为什么firmwide的VaR不是直接加总simple summation?而是平方和开根号?

2 个答案
已采纳答案

orange品职答疑助手 · 2019年07月01日

同学你好。解析里说的是convert the daily VAR,也就是转换市场风险的daily VaR,那就是转换到市场风险每年的VaR啊

题目里也说了mutually uncorrelated,意思就是三大风险每个风险的相关系数都为0。求总风险得先求出组合的总方差,然后开根号。因为相关系数为0,所以含ρ的项都为0。直接相加必须要相关系数都为1的。

doris · 2020年03月15日

题目里也没说是求一年的var还是一天的var,不是time horizon没给吗?这种以后就默认是一天的?

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