问题如下:
Consider a position consisting of a USD 10,000 investment in asset X and a USD 20,000 investment in asset Y. Assume that the daily volatilities of X and Y are 1% and 2% and that the coefficient of correlation between their returns is 0.3. What is the five-day VaR with a 97% confidence level?
选项:
解释:
The standard deviation of the daily changes in the assets are (in USD) 100 and 400. The standard deviation of the daily change in the portfolio is (100^2+400^2+2×100×400×0.3)^0.5=440.5
The standard deviation of the five-day change is the square root of 5 multiplied by the one-day standard deviation, which is USD 984.9. The 97% VaR is 1.88 times this, which is USD 1852.4.
麻烦老师具体讲解一下这道题的解题过程,谢谢