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薛真 · 2020年03月03日

问一道题：NO.PZ2016062402000043

  1. FRM I
  2. Quantitative

问题如下：

Assume we calculate a one-week VAR for a natural gas position by rescaling the daily VAR using the square root of time rule. Let us now assume that we determine the true gas price process to be mean reverting and recalculate the VAR. Which of the following statements is true?

选项：

A.

The recalculated VAR will be less than the original VAR.

B.

The recalculated VAR will be equal to the original VAR.

C.

The recalculated VAR will be greater than the original VAR.

D.

There is no necessary relationship between the recalculated VAR and the original VAR.

解释：

With mean reversion, the volatility grows more slowly than the square root of time.

初始的波动率是日波动率，后来是周波动率，那肯定是周波动率大于日波动率啊。

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1 个答案

orange品职答疑助手 · 2020年03月04日

同学你好，时间尺度都是周啊，original var是根据日波动率乘上根号5算出来的；之后考虑到均值覆归的话，因为它的价格越来越回归到均值，所以波动率会越来越小，也就是周VaR会更小

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