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.
看了答案解析,这道理是直接用标准差来代表VAR了吗?题干给出了return,如果再给一个confidence level,是不是应该用VAR=u-z*△来求比较好?考试的时候要怎么判断什么时候用△直接代表VAR什么时候用△求VAR呢?