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Roseline · 2020年08月29日

问一道题：NO.PZ2016070202000021

  1. FRM II
  2. Market Risk Measurement And Management

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 (100×0.25)2+(50×0.20)2+2×0.2(100×0.25)(50×0.20)=825{(100\times0.25)}^2+{(50\times0.20)}^2+2\times0.2{(100\times0.25)}{(50\times0.20)}=825 VAR is then sqrt825×2.33250=4.226sqrt{825}\times\frac{2.33}{\sqrt{250}}=4.226 The new portfolio has positions of $50 and $100, respectively. The variance is  (50×0.25)2+(100×0.20)2+2×0.2(50×0.25)(100×0.20)=656.25{(50\times0.25)}^2+{(100\times0.20)}^2+2\times0.2{(50\times0.25)}{(100\times0.20)}=656.25 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.

老师好，这道题如果考虑均值，计算过程是否是以下截图步骤？


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狂暴小白熊 · 2020年11月11日

工整漂亮

2 个答案
已采纳答案

袁园_品职助教 · 2020年08月30日

是的！

LHY · 2020年10月07日

为什么算expected return的时候不用考虑A和B的权重而直接用100*10%+50*20%呢？

袁园_品职助教 · 2020年10月08日

LHY 同学你好！

权重体现在value上了啊

或者你可以说一下你觉得考虑权重应该怎么算，我们可以继续讨论~

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为什么 不考虑return，retur在两个portfolio 中都有变化啦

2020-10-15 00:49 1 · 回答

为什么不考虑均值呢？资产比例发生变化，均值也变化了呀

2020-10-02 22:10 1 · 回答

0.4571 0.7705 0.7798 We compute first the varianof the current portfolio. This is (100×0.25)2+(50×0.20)2+2×0.2(100×0.25)(50×0.20)=825{(100\times0.25)}^2+{(50\times0.20)}^2+2\times0.2{(100\times0.25)}{(50\times0.20)}=825(100×0.25)2+(50×0.20)2+2×0.2(100×0.25)(50×0.20)=825 Vis then sqrt825×2.33250=4.226sqrt{825}\times\frac{2.33}{\sqrt{250}}=4.226sqrt825×250 ​2.33​=4.226 The new portfolio hpositions of $50 an$100, respectively. The varianis  (50×0.25)2+(100×0.20)2+2×0.2(50×0.25)(100×0.20)=656.25{(50\times0.25)}^2+{(100\times0.20)}^2+2\times0.2{(50\times0.25)}{(100\times0.20)}=656.25(50×0.25)2+(100×0.20)2+2×0.2(50×0.25)(100×0.20)=656.25 Vis then 3.769 anthe fferenis -0.457. The new Vis lower because of the greater weight on asset whihlower volatility. Also note ththe expectereturn is irrelevant.求variance为什么能直接代入value呢，应该带入资产比例吧？因为求var是用return去减z＊σ

2020-09-20 15:06 1 · 回答

可以用后面讲的组合的VAR公式来算这一道题吗？

2020-09-17 15:37 1 · 回答