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Chin · 2019年11月05日

问一道题：NO.PZ2016082404000039

  1. FRM I
  2. Valuation And Risk Models

问题如下：

An investor is long a short-term at-the-money put option on an underlying portfolio of equities with a notional value of USD 100,000. If the 95% VAR of the underlying portfolio is 10.4%, which of the following statements about the VAR of the option position is correct when second-order terms are considered?

选项：

A.

  The VAR of the option position is slightly more than USD 5,200.

B.

  The VAR of the option position is slightly more than USD 10,400.

C.

  The VAR of the option position is slightly less than USD 5,200.

D.

  The VAR of the option position is slightly less than USD 10,400.

解释：

ANSWER: C

The delta must be around 0.5, which implies a linear VAR of  $$\(\$100,000\times10.4\%\times0.5=\$5,200.\)$$The position is long an option and has positive gamma. As a result, the quadratic VAR must be lower than $5,200.

为什么不用乘上Z value?

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orange品职答疑助手 · 2019年11月06日

同学你好，因为Z-value已经体现在了标的资产的95%的VaR，也就是10.4%上了。它先有了标的资产的VaR，然后通过期权和现货的价格关系，得到期权的VaR


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