开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)|3.2.5(安卓)APP下载

jjjzzz · 2020年02月08日

问一道题:NO.PZ2016070202000021

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 (100×0.25)2+(50×0.20)2+2×0.2(100×0.25)(50×0.20)=825{(100\times0.25)}^2+{(50\times0.20)}^2+2\times0.2{(100\times0.25)}{(50\times0.20)}=825 VAR is then sqrt825×2.33250=4.226sqrt{825}\times\frac{2.33}{\sqrt{250}}=4.226 The new portfolio has positions of $50 and $100, respectively. The variance is  (50×0.25)2+(100×0.20)2+2×0.2(50×0.25)(100×0.20)=656.25{(50\times0.25)}^2+{(100\times0.20)}^2+2\times0.2{(50\times0.25)}{(100\times0.20)}=656.25 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.

为什么ignore expected return of portfolio

1 个答案

品职答疑小助手雍 · 2020年02月08日

同学你好,这个收益率。。。。你会发现加上的话最接近的答案还是B。因为daily收益率的影响确实有限,所以很多如果求daily var的时候,收益率都会被省略。(这题题面没有说考不考虑variance,出题也不够细致)

我觉得严格来说是要加上收益率的,不过针对考试而言,daily的题,先算variance的变化基本都可以快一些找到答案,找不到答案的话再考虑上收益率的影响。