开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)｜3.2.5(安卓)APP下载

返回

wilsonxu · 2021年08月21日

logVAR怎么理解？

  1. FRM II
  2. Market Risk Measurement And Management

NO.PZ2018122701000017

问题如下：

The annual mean and volatility of a portfolio are 10% and 40%, respectively. The current value of the portfolio is GBP 1,000,000. How does the 1-year 95% VaR that is calculated using a normal distribution assumption (normal VaR) compare with the 1-year 95% VaR that is calculated using the lognormal distribution assumption (lognormal VaR)?

选项：

A.

Lognormal VaR is greater than normal VaR by GBP 130,400

B.

Lognormal VaR is greater than normal VaR by GBP 175,900

C.

Lognormal VaR is less than normal VaR by GBP 130,400

D.

Lognormal VaR is less than normal VaR by GBP 175,900

解释：

C is correct.

考点 ： Parametric Estimation Approaches

解析：Normal VAR=0.1-(1.645×0.4）=0.558，

Lognormal VAR=1-exp[0.1-(1.645×0.4)]=0.4276

Hence, lognormal VaR is smaller than Normal VaR by 13.04% per year. With a portfolio of GBP 1,000,000, this translates to GBP 130,400 .

老师，VAR是损失，所以应该计算为负数，计算到正数即为收益。logVAR计算为正数应该怎么理解？另外本题VAR算出是负数，logVAR算出是正数，两个怎么相减。请老师帮忙解答，感谢！
添加评论
1 个答案
已采纳答案

品职答疑小助手雍 · 2021年08月21日

嗨，从没放弃的小努力你好：


两个var都是指损失。不过都用正数来表示损失数，normal的取了绝对值，lognormal的不需要去绝对值，算出来两个正数来进行比较即可。

----------------------------------------------
加油吧，让我们一起遇见更好的自己！

  • 1

    回答

  • 1

    关注

  • 919

    浏览
相关问题

NO.PZ2018122701000017问题如下 The annumeanvolatility of a portfolio are 10% an40%, respectively. The current value of the portfolio is G1,000,000. How es the 1-ye95% Vthis calculateusing a normstribution assumption (normVaR) compare with the 1-ye95% Vthis calculated using the lognormstribution assumption (lognormVaR)? LognormVis greater thnormVG130,400 LognormVis greater thnormVG175,900 LognormVis less thnormVG130,400 LognormVis less thnormVG175,900 C is correct. 考点 Parametric Estimation Approaches 解析NormVAR=0.1-(1.645×0.4）=0.558，LognormVAR=1-exp[0.1-(1.645×0.4)]=0.4276Hence, lognormVis smaller thNormV13.04% per year. With a portfolio of G1,000,000, this translates to G130,400 . 本题中计算 ily lognormV没有进行收益率和方差的转换，直接使用年化数据进行计算，原因呢。那如果是 ily lognormV如何计算 呢

2024-10-27 08:59 1 · 回答

NO.PZ2018122701000017 问题如下 The annumeanvolatility of a portfolio are 10% an40%, respectively. The current value of the portfolio is G1,000,000. How es the 1-ye95% Vthis calculateusing a normstribution assumption (normVaR) compare with the 1-ye95% Vthis calculated using the lognormstribution assumption (lognormVaR)? LognormVis greater thnormVG130,400 LognormVis greater thnormVG175,900 LognormVis less thnormVG130,400 LognormVis less thnormVG175,900 C is correct. 考点 Parametric Estimation Approaches 解析NormVAR=0.1-(1.645×0.4）=0.558，LognormVAR=1-exp[0.1-(1.645×0.4)]=0.4276Hence, lognormVis smaller thNormV13.04% per year. With a portfolio of G1,000,000, this translates to G130,400 . 老师，怎么知道95%是单尾，用1.645呢，我用的1.96

2023-06-01 22:48 2 · 回答

NO.PZ2018122701000017 问题如下 The annumeanvolatility of a portfolio are 10% an40%, respectively. The current value of the portfolio is G1,000,000. How es the 1-ye95% Vthis calculateusing a normstribution assumption (normVaR) compare with the 1-ye95% Vthis calculated using the lognormstribution assumption (lognormVaR)? LognormVis greater thnormVG130,400 LognormVis greater thnormVG175,900 LognormVis less thnormVG130,400 LognormVis less thnormVG175,900 C is correct. 考点 Parametric Estimation Approaches 解析NormVAR=0.1-(1.645×0.4）=0.558，LognormVAR=1-exp[0.1-(1.645×0.4)]=0.4276Hence, lognormVis smaller thNormV13.04% per year. With a portfolio of G1,000,000, this translates to G130,400 . 老师，按照咱们讲义里面的 -mean+z*sigma 这个表达方式是不是就是算出来是正的 表达的就是损失算出来是负的 那就是【负的损失】-- 就是盈利？ （这是根据前面一道题总结出来的）然后 我们平常用的 mean-z*sigema 算出来的是负的就代表就是损失 只不过套了个绝对值来表达 但是算出来是正的就说明是盈利的请老师帮忙解答

2023-03-01 11:57 1 · 回答

NO.PZ2018122701000017问题如下 The annumeanvolatility of a portfolio are 10% an40%, respectively. The current value of the portfolio is G1,000,000. How es the 1-ye95% Vthis calculateusing a normstribution assumption (normVaR) compare with the 1-ye95% Vthis calculated using the lognormstribution assumption (lognormVaR)? LognormVis greater thnormVG130,400 LognormVis greater thnormVG175,900 LognormVis less thnormVG130,400 LognormVis less thnormVG175,900 C is correct. 考点 Parametric Estimation Approaches 解析NormVAR=0.1-(1.645×0.4）=0.558，LognormVAR=1-exp[0.1-(1.645×0.4)]=0.4276Hence, lognormVis smaller thNormV13.04% per year. With a portfolio of G1,000,000, this translates to G130,400 . 为什么我算不出来0.4276？我算出来的是0.7471

2022-07-14 22:50 1 · 回答

NO.PZ2018122701000017 如题，这道题认为vol是标准差，不对吧

2021-09-24 19:11 1 · 回答