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这样 · 2021年03月30日

关于VaR选择的问题

  1. FRM II
  2. Basel Accord

NO.PZ2016072602000060

问题如下：

As a risk manager for Bank ABC, John is asked to calculate the market risk capital charge of the bank’s trading portfolio under the 1996 internal models approach. The VAR (95%, one-day) of the last trading day is USD 30,000; the average VAR (95%, one-day) for the last 60 trading days is USD 20,000. The multiplier is k=3. Assuming the return of the bank’s trading portfolio is normally distributed, what is the market risk capital charge of the trading portfolio?

选项：

A.

USD 84,582

B.

USD 189,737

C.

USD 268,200

D.

USD 134,594

解释：

C is correct. The average VAR times 3 is USD 60,000. Because this is higher than yesterday's VAR, this is the binding number. Multiplying by 10\sqrt{10} x 2.323/1.645 = 4.47 gives USD 268,200.

为什么在前一天的VaR和过去60天平均的VaR中选择了较小的那一呢？


能帮忙指出这部分在1996 Amending的讲义里哪一部分吗？因为我只在后面巴3的修正中看到要在risk capital中增加stressed VaR，而这个VaR用的是前一天和过去六十天平均的较大值。


谢谢

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1 个答案

袁园_品职助教 · 2021年03月31日

同学你好！

这里是选较大值，20,000*3=60,000>30,000

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