问题如下:
5.Using the data in Exhibit 2, the portfolio's annual 1% parametric VaR is closest to:
选项:
A. CAD 17 million.
B. CAD 31 million.
C. CAD 48 million.
解释:
B is correct.
The VaR is derived as follows:
VaR = [(E(Rp) - 2.33ap)(-1)](Portfolio value)
where
E(Rp) = Annualized daily return = (0.00026 x 250) = 0.065
250 = Number of trading days annually
2.33 = Number of standard deviations to attain 1% VaR
σp = Annualized standard deviation =
Portfolio value = CAD 260,000,000
VaR = -(0.065 - 0.184571) x CAD 260,000,000 =CAD31,088,460
考点:VaR的计算
解析:注意正文表格中给的数据的时间单位是daily,而题干求的时间单位是annual,所以首先要对数据进行年化。默认一年有250个交易日。
然后年化后的数据代入(Zσ-u)*portfolio value。
请问2.33是查表得出的吗?