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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.

强列希望老师能讲一下这个题

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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，上一题已经回复过你了

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