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

返回

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.

强列希望老师能讲一下这个题

添加评论
1 个答案

orange品职答疑助手 · 2020年03月04日

同学你好，上一题已经回复过你了

  • 1

    回答

  • 0

    关注

  • 476

    浏览
相关问题

NO.PZ2016062402000043 问题如下 Assume we calculate a one-week VAR for a naturgposition rescaling the ily Vusing the square root of time rule. Let us now assume thwe termine the true gpriprocess to be mereverting anrecalculate the VAR. Whiof the following statements is true? The recalculateVwill less ththe originVAR. The recalculateVwill equto the originVAR. The recalculateVwill greater ththe originVAR. There is no necessary relationship between the recalculateVanthe originVAR. With mereversion, the volatility grows more slowly ththe square root of time. σ 周=根号下5*σ 天，σ 周 σ 天，1-σ变大，在return的正态分布图上，VaR条线就往左移，面积就变小。这么理解对吗？

2024-01-22 12:30 1 · 回答

NO.PZ2016062402000043 问题如下 Assume we calculate a one-week VAR for a naturgposition rescaling the ily Vusing the square root of time rule. Let us now assume thwe termine the true gpriprocess to be mereverting anrecalculate the VAR. Whiof the following statements is true? The recalculateVwill less ththe originVAR. The recalculateVwill equto the originVAR. The recalculateVwill greater ththe originVAR. There is no necessary relationship between the recalculateVanthe originVAR. With mereversion, the volatility grows more slowly ththe square root of time. 不太明白题干意思，以及问什么

2022-06-28 20:57 1 · 回答

NO.PZ2016062402000043 The recalculateVwill equto the originVAR. The recalculateVwill greater ththe originVAR. There is no necessary relationship between the recalculateVanthe originVAR. With mereversion, the volatility grows more slowly ththe square root of time. 均值复归既可以向上也可以向下回归，为什么这道题就能肯定是向下呢？ OriginVaR=weekly VResceleVaR=根号7 * 1天的V怎么比较大小呢 烦请老师解答，谢谢！

2022-02-11 00:54 1 · 回答

NO.PZ2016062402000043 Assume we calculate a one-week Vfor a naturgposition rescaling the ily Vusing the square root of time rule. Let us now assume thwe termine the true gpriprocess to mereverting anrecalculate the VAR. Whiof the following statements is true? The recalculateVwill less ththe originVAR. The recalculateVwill equto the originVAR. The recalculateVwill greater ththe originVAR. There is no necessary relationship between the recalculateVanthe originVAR. With mereversion, the volatility grows more slowly ththe square root of time. 老师，我不太理解这个题的含义，可否画图或公式帮忙一下？

2022-01-24 17:57 1 · 回答

Assume we calculate a one-week Vfor a naturgposition rescaling the ily Vusing the square root of time rule. Let us now assume thwe termine the true gpriprocess to mereverting anrecalculate the VAR. Whiof the following statements is true? The recalculateVwill less ththe originVAR. The recalculateVwill equto the originVAR. The recalculateVwill greater ththe originVAR. There is no necessary relationship between the recalculateVanthe originVAR. With mereversion, the volatility grows more slowly ththe square root of time. 你好，我对题目中有一点比较疑惑。因为我们知道天然气有季节性的特点，冬天的时候波动性高，夏天波动性低。题目中没有明确是哪个季节，如果题目中是夏季，Var算出来就低，乘上根号下T得出的长期Var就偏低。如果是冬季，Var算出来高，乘根号下T算出来值就篇高。所以我觉的应该选

2020-09-05 16:30 1 · 回答