问一道题：NO.PZ2016072602000032

NO.PZ2016072602000032 问题如下 Your bank calculates a one-y 95% Vfor market risk, a one-ye99% Vfor operationrisk, ana one-ye99% Vfor cret risk. The measures are $100 million, $500 million, an$1 billion, respectively. Operationrisk is fineto inclu all risks thare not market risks ancret risks, anthese three categories are mutually uncorrelate The market risk Vassumes normally stributereturns, anthe bank expects to successful to keep its market risk Vthlevel for the whole year. Your boss wants your best estimate of a firmwi Vthe 1% level. Among the following choices, your best estimate is: $1.7 billion $1.94 billion $2.50 billion It is impossible to aggregate risks with fferent stributions having only this information. C is correct. First, we convert the ily Vthe 95% level to the same parameters the other. With the normality assumption, this is VARMKT = $100 x (2.326/ 1.645) 252\sqrt{252}252​ = $2,245. We then combine the three VARs taking the square root of the sum of squares, whigives V=$2,2452+$5002+$10002\sqrt{\$2,245^2+\$500^2+\$1000^2}$2,2452+$5002+$10002​ = $2,458. 如题

NO.PZ2016072602000032问题如下 Your bank calculates a one-y 95% Vfor market risk, a one-ye99% Vfor operationrisk, ana one-ye99% Vfor cret risk. The measures are $100 million, $500 million, an$1 billion, respectively. Operationrisk is fineto inclu all risks thare not market risks ancret risks, anthese three categories are mutually uncorrelate The market risk Vassumes normally stributereturns, anthe bank expects to successful to keep its market risk Vthlevel for the whole year. Your boss wants your best estimate of a firmwi Vthe 1% level. Among the following choices, your best estimate is: $1.7 billion $1.94 billion $2.50 billion It is impossible to aggregate risks with fferent stributions having only this information. C is correct. First, we convert the ily Vthe 95% level to the same parameters the other. With the normality assumption, this is VARMKT = $100 x (2.326/ 1.645) 252\sqrt{252}252​ = $2,245. We then combine the three VARs taking the square root of the sum of squares, whigives V=$2,2452+$5002+$10002\sqrt{\$2,245^2+\$500^2+\$1000^2}$2,2452+$5002+$10002​ = $2,458.如题。三个var直接相加不行吗？一般巴塞尔协议不也是直接相加的吗，这还是巴塞尔的缺点之一，没有考虑versification。题目中怎么看出来要平方后再开根号呢

NO.PZ2016072602000032 问题如下 Your bank calculates a one-y 95% Vfor market risk, a one-ye99% Vfor operationrisk, ana one-ye99% Vfor cret risk. The measures are $100 million, $500 million, an$1 billion, respectively. Operationrisk is fineto inclu all risks thare not market risks ancret risks, anthese three categories are mutually uncorrelate The market risk Vassumes normally stributereturns, anthe bank expects to successful to keep its market risk Vthlevel for the whole year. Your boss wants your best estimate of a firmwi Vthe 1% level. Among the following choices, your best estimate is: $1.7 billion $1.94 billion $2.50 billion It is impossible to aggregate risks with fferent stributions having only this information. C is correct. First, we convert the ily Vthe 95% level to the same parameters the other. With the normality assumption, this is VARMKT = $100 x (2.326/ 1.645) 252\sqrt{252}252​ = $2,245. We then combine the three VARs taking the square root of the sum of squares, whigives V=$2,2452+$5002+$10002\sqrt{\$2,245^2+\$500^2+\$1000^2}$2,2452+$5002+$10002​ = $2,458. Market VAR不是要求10天的吗？怎么是求一年的了？

NO.PZ2016072602000032 $1.94 billion $2.50 billion It is impossible to aggregate risks with fferent stributions having only this information. C is correct. First, we convert the ily Vthe 95% level to the same parameters the other. With the normality assumption, this is VARMKT = $100 x (2.326/ 1.645) 252\sqrt{252}252 ​ = $2,245. We then combine the three VARs taking the square root of the sum of squares, whigives V= $2,2452+$5002+$10002\sqrt{\$2,245^2+\$500^2+\$1000^2}$2,2452+$5002+$10002 ​ = $2,458.为什么这里的mr or不乘以12。5，直接相加