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claireteng · 2022年06月28日

不太明白题干意思，以及问什么

  1. FRM I
  2. Quantitative

NO.PZ2016062402000043

问题如下：

Assume we calculate a one-week VAR for a natural gas position by rescaling the daily VAR using the square root of time rule. Let us now assume that we determine the true gas price process to be mean reverting and recalculate the VAR. Which of the following statements is true?

选项：

A.

The recalculated VAR will be less than the original VAR.

B.

The recalculated VAR will be equal to the original VAR.

C.

The recalculated VAR will be greater than the original VAR.

D.

There is no necessary relationship between the recalculated VAR and the original VAR.

解释：

With mean reversion, the volatility grows more slowly than the square root of time.

不太明白题干意思，以及问什么

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1 个答案

品职答疑小助手雍 · 2022年06月29日

同学你好，我觉得google翻译对题面翻译的基本一字不差。

解析只用到了一个结论：均值复归是可以减小波动性的。所以新的var会被直接用平方根法则算的var小。

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2024-01-22 12:30 1 · 回答

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2022-02-11 00:54 1 · 回答

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