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ZF Everyday · 2021年03月21日

题目中的信息疑问

  1. FRM I
  2. Valuation And Risk Models

NO.PZ2016082404000039

问题如下：

An investor is long a short-term at-the-money put option on an underlying portfolio of equities with a notional value of USD 100,000. If the 95% VAR of the underlying portfolio is 10.4%, which of the following statements about the VAR of the option position is correct when second-order terms are considered?

选项：

A.

  The VAR of the option position is slightly more than USD 5,200.

B.

  The VAR of the option position is slightly more than USD 10,400.

C.

  The VAR of the option position is slightly less than USD 5,200.

D.

  The VAR of the option position is slightly less than USD 10,400.

解释：

ANSWER: C

The delta must be around 0.5, which implies a linear VAR of $100,000×10.4%×0.5=$5,200.\$100,000\times10.4\%\times0.5=\$5,200.The position is long an option and has positive gamma. As a result, the quadratic VAR must be lower than $5,200.

题目中说If the 95% VAR of the underlying portfolio is 10.4%，是指底层股票的VAR=10.4%么？

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小刘_品职助教 · 2021年03月21日

同学你好，

是指这个portfolio （一堆股票的组合）的VaR值是10.4%

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NO.PZ2016082404000039问题如下 investor is long a short-term at-the-money put option on unrlying portfolio of equities with a notionvalue of US100,000. If the 95% Vof the unrlying portfolio is 10.4%, whiof the following statements about the Vof the option position is correwhen seconorr terms are consire   The Vof the option position is slightly more thUS5,200.   The Vof the option position is slightly more thUS10,400.   The Vof the option position is slightly less thUS5,200.   The Vof the option position is slightly less thUS10,400. ANSWER: CThe lta must aroun0.5, whiimplies a lineVof $100,000×10.4%×0.5=$5,200.\$100,000\times10.4\%\times0.5=\$5,200.$100,000×10.4%×0.5=$5,200.The position is long option anhpositive gamma result, the quaatic Vmust lower th$5,200.解析有一个投资者买了一个ATM的put option，基础资产是一个股票组合，金额为100000美元。如果基础资产95%VaR是10.4%，请问下面关于这个option考虑到非线性关系的VaR正确的是哪一个？ATM put的lta=0.5线性关系的option的VaR=S*lta*VaR=100,000*0.5*10.4%=5200考虑到二次关系的VaR是在线性关系的基础上减去一个数值，所以会低于5200. 二次关系是什么关系哪里的知识点娃

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