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DDAXC · 2020年02月13日

问一道题：NO.PZ2019042401000041

  1. FRM II
  2. Risk Management And Investment Management

问题如下：

Analyst BOb collects the following information about assets A and B

Based on the above table, the VaR of the portfolio composed of asset A and B at 95% confidence level is :

选项：

A.

$399,123.

B.

$316,225.

C.

$414,120.

D.

$444,510.

解释：

D is correct.

考点：portfolio diversified VaR

解析：

第一步，计算组合的标准差：

VarianceA,B= w2σ2+w2σ2+2×wA×wB×σA ×σB × CorrA,B

Variancex,y = 0.4^2×0.07^2+0.6^2×0.05^2+2×0.4×0.6×0.07×0.05×0.2

Variancex,y = 0.000784 + 0.0009 + 0.000336

Variancex,y = 0.002020

Standard deviation=0.002020=4.49%\text{Standard deviation=}\sqrt{0.002020}=4.49\%

第二步，计算 VaR

VaR = 1.65 x volatility x portfolio value

VaR = 1.65 x 0.0449 x $6m

VaR = $444,510

先求出A和B的dollar VaR 然后再求portfolio的VaR可以吗？

VARa=1.645*7%*2.4m

VARb=1.645*5%*3.6m

VARp=（VARa的平方+VARb的平方+2*VARa*VARb*correlation）开根号

这样可以吗

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1 个答案

orange品职答疑助手 · 2020年02月13日

同学你好，可以的，只想均值是0的时候就可以这样做

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NO.PZ2019042401000041 问题如下 Analyst BOb collects the following information about assets A anBBaseon the above table, the Vof the portfolio composeof asset A anB 95% confinlevel is : A.$399,123. B.$316,225. C.$414,120. $444,510. is correct. 考点portfolio versifieVaR解析第一步，计算组合的标准差VarianceA,w2σ2+w2σ2+2×wA×wB×σA ×σB × CorrA,BVariancex,y = 0.4^2×0.07^2+0.6^2×0.05^2+2×0.4×0.6×0.07×0.05×0.2Variancex,y = 0.000784 + 0.0009 + 0.000336Variancex,y = 0.002020Stanrviation=0.002020=4.49%\text{Stanrviation=}\sqrt{0.002020}=4.49\%Stanrviation=0.002020​=4.49%第二步，计算 VaRV= 1.65 x volatility x portfolio valueV= 1.65 x 0.0449 x $6mV= $444,510 老师您好，在计算组合标准差的时候，什么时候用金额*波动率，什么时候用金额占比*波动率？谢谢！

2024-11-06 11:27 1 · 回答

NO.PZ2019042401000041 问题如下 Analyst BOb collects the following information about assets A anBBaseon the above table, the Vof the portfolio composeof asset A anB 95% confinlevel is : A.$399,123. B.$316,225. C.$414,120. $444,510. is correct. 考点portfolio versifieVaR解析第一步，计算组合的标准差VarianceA,w2σ2+w2σ2+2×wA×wB×σA ×σB × CorrA,BVariancex,y = 0.4^2×0.07^2+0.6^2×0.05^2+2×0.4×0.6×0.07×0.05×0.2Variancex,y = 0.000784 + 0.0009 + 0.000336Variancex,y = 0.002020Stanrviation=0.002020=4.49%\text{Stanrviation=}\sqrt{0.002020}=4.49\%Stanrviation=0.002020​=4.49%第二步，计算 VaRV= 1.65 x volatility x portfolio valueV= 1.65 x 0.0449 x $6mV= $444,510 所以volatility是sigma而不是sigma平方吗

2024-10-21 23:04 1 · 回答

NO.PZ2019042401000041问题如下Analyst BOb collects the following information about assets A anBBaseon the above table, the Vof the portfolio composeof asset A anB 95% confinlevel is :A.$399,123.B.$316,225.C.$414,120.$444,510.is correct. 考点portfolio versifieVaR解析第一步，计算组合的标准差VarianceA,w2σ2+w2σ2+2×wA×wB×σA ×σB × CorrA,BVariancex,y = 0.4^2×0.07^2+0.6^2×0.05^2+2×0.4×0.6×0.07×0.05×0.2Variancex,y = 0.000784 + 0.0009 + 0.000336Variancex,y = 0.002020Stanrviation=0.002020=4.49%\text{Stanrviation=}\sqrt{0.002020}=4.49\%Stanrviation=0.002020​=4.49%第二步，计算 VaRV= 1.65 x volatility x portfolio valueV= 1.65 x 0.0449 x $6mV= $444,510u=2.4*（2.4/6）+3.6*（3.6/6）答案居然把u看作0

2023-12-13 09:28 1 · 回答

这题如果用(2.4^2*0.07^2+3.6^2*0.05^2+2*2.4*3.6*0.07*0.05*0.2)^0.5*1.65=0.44494966million可以吗

2020-02-15 00:15 1 · 回答