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gongyin · 2021年07月11日

为什么用VaR的平方代替权重*波动率的平方?

NO.PZ2018122701000049

问题如下:

A portfolio consists of options on Microsoft and AT&T. The options on Microsoft have a delta of 1000, and the options on AT&T have a delta of 20000. The Microsoft share price is $120, and the AT&T share price is $30. Assuming that the daily volatility of Microsoft is 2% and the daily volatility of AT&T is 1% and the correlation between the daily changes is 0.3, the 5-day 95% VaR is

选项:

A.

26193

B.

25193

C.

27193

D.

24193

解释:

A is correct.

考点:Mapping to Option Position

解析:VaRMic= 1.65 × 2% × 120 × 1000 = 3960

VaRAT&T= 1.65 × 1% × 30 × 20000=9900

VARP(5day,95%)=39602+99002+2×0.3×3960×9900×5=26193VAR_{P(5-day,95\%)}=\sqrt{3960^2+9900^2+2\times0.3\times3960\times9900}\times\sqrt5=26193

请问在组合sigma方的公式中, sigma方*权重平方可用VaR方代替吗? 答案中的计算公式是这个意思吗?

1 个答案
已采纳答案

品职答疑小助手雍 · 2021年07月12日

嗨,从没放弃的小努力你好:


不考虑收益率μ的题目里,是可以替代的。

是这个意思。

----------------------------------------------
努力的时光都是限量版,加油!

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