NO.PZ2018091701000086
问题如下:
A portfolio has daily expected return of 0.03% and standard deviation of 0.25%. Assume the portfolio’s market value is $20million, its 1% monthly VaR should be (suppose there are 21 business days in a month):
选项:
A.$638,420
B.$409,900
C.$110,500
解释:
B is correct.
考点: VaR计算
解析:将天化的收益和标准差转化月化:E(Rp)=0.03%*21=0.63%, σp =0.25%*(21)0.5=1.15%,
VaR=$(2.33*1.15%-0.63%)*20million=$409900
由daily转换为annual的转化是√250*VaRdaily,为什么monthly不是√21*VaRdaily?