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阿萌酱 · 2020年07月19日

问一道题:NO.PZ2016082404000007

问题如下:

Assume that portfolio daily returns are independent and identically normally distributed. Sam Neil, a new quantitative analyst, has been asked by the portfolio manager to calculate portfolio VARs over 10, 15, 20, and 25 days. The portfolio manager notices something amiss with Sam’s calculations, displayed here. Which one of the following VARs on this portfolio is inconsistent with the others?

选项:

A.

VAR(10-day) = USD 316M

B.

VAR(15-day) = USD 465M

C.

VAR(20-day) = USD 537M

D.

VAR(25-day) = USD 600M

解释:

ANSWER: A

We compute the daily VAR by dividing each VAR by the square root of time. This gives 31610=100\frac{316}{\sqrt{10}}=100, then 120, 120, and 120. So, answer A is out of line.

这道题没有看懂计算过程

1 个答案

品职答疑小助手雍 · 2020年07月19日

转换成每日VaR的计算式是 每天的VaR除以根号下天数。

算出每日var的时候你会发现,只有10day-var算出来的每日var不是在120左右,而是等于100左右。

所以10-day var的数值错了。

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