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wawjbng · 2021年08月23日

看答案看晕了

  1. FRM II
  2. Risk Management And Investment Management

NO.PZ2016071602000011

问题如下：

A risk manager assumes that the joint distribution of returns is multivariate normal and calculates the following risk measures for a two-asset portfolio:

If asset 2 is dropped from the portfolio, what is the reduction in portfolio VAR?

选项：

A.

USD 15.0

B.

USD 38.3

C.

USD 44.0

D.

USD 46.6

解释：

B is correct. This is 61.6 minus the portfolio VAR of asset 1 alone, which is USD 23.3, for a difference of 38.3.

1.老师说求的是incremental var,那为啥用marginal var 乘以变动的100块钱得不出答案呢 2.individual vat是component var吗 3.var contribution是啥,对应讲义里讲的哪个名词，又是怎么计算出来的呢
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1 个答案

品职答疑小助手雍 · 2021年08月23日

嗨，爱思考的PZer你好：


1、incremental var不是这么算的，是用的减法如下截图。

2、individual var就是一个资产单独的var，不是component var，component var可以用来算contribution，不过要看想获得的contribution是数值还是百分比形式的了。

以上概念都在讲义里提到过的，而且上课也重点讲过，需要分清楚，考试也会重点考察。

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