NO.PZ2018122701000048
问题如下:
A portfolio manager owns a portfolio of options on a non-dividend paying stock RTX. The portfolio is made up of 10,000 deep in-the-money call options on RTX and 50,000 deep out-of-the money call options on RTX. The portfolio also contains 20,000 forward contracts on RTX. RTX is trading at USD 100. If the volatility of RTX is 30% per-year, which of the following amounts would be closest to the 1-day VaR of the portfolio at the 95 percent confidence level, assuming 252 trading days in a year?
选项:
A.USD 932
B.USD 93,263
C.USD 111,122
D.USD 131,892
解释:
B is correct.
考点Mapping to Option Position
解析We need to map the portfolio to a position in the underlying stock RTX. A deep in-the-money call has a delta of approximately 1, a deep out-of-the-money call has delta of approximately 0 and forwards have a delta of 1. The net portfolio has a delta of about 30,000 and is approximately gamma neutral. The 1-day VaR estimate at 95 percent confidence level is computed as follows:
老师好,看了之前的对这题的回复还是不太明白。这题是用VAR(dc)=|Δ|*VAR(ds)这个公式算的吧?那|Δ|=?,VAR(ds)=? 能不能再分步骤具体讲解一下。VAR(ds)是不是应该用-μ+Zα*σ来计算?其中Zα=1.645 ,σ=题中的σ/根号天数。