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hbc0728 · 2022年02月28日

想问一下这道题的考点

  1. FRM II
  2. Risk Management And Investment Management

NO.PZ2016071602000009

问题如下：

The AT&T pension fund has 68%, or about $13 billion, invested in equities. Assume a normal distribution and volatility of 15% per annum. The fund measures absolute risk with a 95%, one-year VAR, which gives $3.2 billion. The pension plan wants to allocate this risk to two equity managers, each with the same VAR budget. Given that the correlation between managers is 0.5, the VAR budget for each should be

选项：

A.

$3.2 billion

B.

$2.4 billion

C.

$1.9 billion

D.

$1.6 billion

解释：

C is correct. Call x the risk budget allocation to each manager. This should be such that x2 + x2 + 2ρxx = $3.22. Solving for x1+1+2ρ\sqrt{1+1+2\rho}  =x 3\sqrt3 = $3.2, we find x = $1.85 billion. Answer a. is incorrect because it refers to the total VAR. Answer b. is incorrect because it assumes a correlation of zero. Answer d. is incorrect because it simply divides the $3.2 billion VAR by 2, which ignores diversification effects.

老师，想问一下这道题的考点与对应知识点在讲义中的位置，谢谢！

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品职答疑小助手雍 · 2022年03月01日

同学你好，就是求组合var的公式。总风险是3.2，两个一样的人各自分多少。

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