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

irene · 2022年03月07日

为什么乘以根十？

  1. FRM II
  2. Basel Accord

NO.PZ2016072602000060

问题如下：

As a risk manager for Bank ABC, John is asked to calculate the market risk capital charge of the bank’s trading portfolio under the 1996 internal models approach. The VAR (95%, one-day) of the last trading day is USD 30,000; the average VAR (95%, one-day) for the last 60 trading days is USD 20,000. The multiplier is k=3. Assuming the return of the bank’s trading portfolio is normally distributed, what is the market risk capital charge of the trading portfolio?

选项：

A.

USD 84,582

B.

USD 189,737

C.

USD 268,200

D.

USD 134,594

解释：

C is correct. The average VAR times 3 is USD 60,000. Because this is higher than yesterday's VAR, this is the binding number. Multiplying by 10\sqrt{10} x 2.323/1.645 = 4.47 gives USD 268,200.

为什么乘以根十？

添加评论
1 个答案

李坏_品职助教 · 2022年03月07日

嗨，从没放弃的小努力你好：


参考基础班讲义P38：

内部模型法的资本要求是10日VaR的3-4倍。所以要把var的结果乘以根号10

----------------------------------------------
就算太阳没有迎着我们而来，我们正在朝着它而去，加油！

  • 1

    回答

  • 0

    关注

  • 410

    浏览
相关问题

NO.PZ2016072602000060 问题如下 a risk manager for Bank ABJohn is asketo calculate the market risk capitcharge of the bank’s trang portfolio unr the 1996 internmols approach. The V(95%, one-y) of the last trang y is US30,000; the average V(95%, one-y) for the last 60 trang ys is US20,000. The multiplier is k=3. Assuming the return of the bank’s trang portfolio is normally stribute whis the market risk capitcharge of the trang portfolio? US84,582 US189,737 US268,200 US134,594 C is correct. The average Vtimes 3 is US60,000. Because this is higher thyestery's VAR, this is the binng number. Multiplying 10\sqrt{10}10​ x 2.323/1.645 = 4.47 gives US268,200. the market risk capitcharge 就是理解为 V capitloss?

2024-11-07 15:58 1 · 回答

NO.PZ2016072602000060 问题如下 a risk manager for Bank ABJohn is asketo calculate the market risk capitcharge of the bank’s trang portfolio unr the 1996 internmols approach. The V(95%, one-y) of the last trang y is US30,000; the average V(95%, one-y) for the last 60 trang ys is US20,000. The multiplier is k=3. Assuming the return of the bank’s trang portfolio is normally stribute whis the market risk capitcharge of the trang portfolio? US84,582 US189,737 US268,200 US134,594 C is correct. The average Vtimes 3 is US60,000. Because this is higher thyestery's VAR, this is the binng number. Multiplying 10\sqrt{10}10​ x 2.323/1.645 = 4.47 gives US268,200. 计算market risk charge 其实就是basel要求的对应的VAR。先比较昨天的和过去60天*k的，谁大用谁。然后再把大的60000，调整成99% 10天？

2023-11-14 15:17 1 · 回答

NO.PZ2016072602000060 问题如下 a risk manager for Bank ABJohn is asketo calculate the market risk capitcharge of the bank’s trang portfolio unr the 1996 internmols approach. The V(95%, one-y) of the last trang y is US30,000; the average V(95%, one-y) for the last 60 trang ys is US20,000. The multiplier is k=3. Assuming the return of the bank’s trang portfolio is normally stribute whis the market risk capitcharge of the trang portfolio? US84,582 US189,737 US268,200 US134,594 C is correct. The average Vtimes 3 is US60,000. Because this is higher thyestery's VAR, this is the binng number. Multiplying 10\sqrt{10}10​ x 2.323/1.645 = 4.47 gives US268,200. 老师VaR的计算不是单尾吗，那为什么这里不是除以1.96，反而用的是1.65

2022-11-04 21:00 1 · 回答

NO.PZ2016072602000060 为什么在前一天的VaR和过去60天平均的VaR中选择了较小的那一呢？ 能帮忙指出这部分在1996 Amenng的讲义里哪一部分吗？因为我只在后面巴3的修正中看到要在risk capital中增加stresseVaR，而这个VaR用的是前一天和过去六十天平均的较大值。 谢谢

2021-03-30 08:24 1 · 回答