问题如下:
A trading book consists of the following two assets, with correlation of 0.2.
How would the daily VAR at the 99% level change if the bank sells $50 worth of A and buys $50 worth of B? Assume a normal distribution and 250 trading days.
选项:
A.0.2286
B.0.4571
C.0.7705
D.0.7798
解释:
We compute first the variance of the current portfolio. This is VAR is then The new portfolio has positions of $50 and $100, respectively. The variance is VAR is then 3.769 and the difference is -0.457. The new VAR is lower because of the greater weight on asset B, which has lower volatility. Also note that the expected return is irrelevant.
- 请问这道题是不是没有正确答案。看了之前orange老师的答复,是需要考虑计算expected value。并且,orange老师计算出来的结果是0.477624
orange品职答疑助手 · 6 个月前
要的,其实我是计算了的,但没有写在算式里…… 你重新看一下这张图
(下面的图片贴不上去,见于orange六个月前答复“十六岁的烟火”)
2.既然要考虑expected value,那原答案为啥说……Also note that the expected return is irrelevant.?