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finger · 2021年03月31日

那个2.33倍其实是什么意思

  1. CFA II
  2. Portfolio

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

那个2.33倍其实是什么意思

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已采纳答案

星星_品职助教 · 2021年03月31日

同学你好，

VaR的公式为 |μ-z×σ|。其中z是根据置信区间决定的critical value。

1%的单侧尾部面积对应的值为2.33。类似的，5%单侧尾部面积对应的值为1.645.

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