问题如下:
A trading book consists of the following two assets, with correlation of 0.2.
How would the daily VAR at the 99% level change if the bank sells $50 worth of A and buys $50 worth of B? Assume a normal distribution and 250 trading days.
选项:
A.0.2286
B.0.4571
C.0.7705
D.0.7798
解释:
We compute first the variance of the current portfolio. This is VAR is then The new portfolio has positions of $50 and $100, respectively. The variance is VAR is then 3.769 and the difference is -0.457. The new VAR is lower because of the greater weight on asset B, which has lower volatility. Also note that the expected return is irrelevant.
这道题中, 两个资产position是不一样的,一个买一个卖,那么在计算整个portfolio的VaR 的 时候, correlation要不要变成-0.2?
是不是这样计算整个VaR