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saimeiei · 2021年09月24日

volatility应该是方差不是标准差吧

  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 .

如题，这道题认为vol是标准差，不对吧

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1 个答案

李坏_品职助教 · 2021年09月24日

嗨，从没放弃的小努力你好：


如果没有特指的话，volatility一般指的是标准差。金融里面大部分指标用的都是标准差来计算的，很少直接用方差。

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努力的时光都是限量版，加油！

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