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

pinzhixiaoguo · 2022年09月13日

请问求组合的标准差，带入的数据具体是什么？

  1. FRM II
  2. Market Risk Measurement And Management

NO.PZ2018122701000018

问题如下：

The bank’s trading book consists of the following two assets:

Correlation (A, B) = 0.2

How would the daily VaR at 99% level change if the bank sells $50 worth of asset A and buys $50 worth of asset B?

Assume there are 250 trading days in a year.

选项：

A.

$0.2286

B.

$0.4776

C.

$0.7705

D.

$0.7798

解释：

B is correct.

考点 ： Parametric Estimation Approaches

解析 ： The trade will decrease the VaR by 0.4776。

易错点：求daily VaR，但题干给的是annual return。

t=0，组合由$100A+$50B构成，μP =13.33%, 由年转化为天，13.33%/250=0.0533%.

σP =19.15%, 由年转化为天, 19.15%/SQRT(250)=1.2111%

daily 99%VaR=（2.33*1.2111%-0.0533%）*$150=$4.1528

t=1，组合由$50A+$100B构成，μP =16.66%, 由年转化为天，16.66%/250=0.0667%.

σP =17.08%, 由年转化为天, 17.08%/SQRT(250)=1.0801%

daily 99%VaR=（2.33*1.0801%-0.0667%）*$150=$3.6749

所以$4.1528-$3.6749=0.4779，最接近的是B选项。

题目给的产品A的volatility是25%，也就是说A的方差是25%，则A的标准差应该是25%的平方根也就是0.5，才对吧？我怎么就算不出正确答案啊？麻烦助教老师给算一下吧。

添加评论
2 个答案
已采纳答案

DD仔_品职助教 · 2022年09月14日

嗨，爱思考的PZer你好：


同学你好，你的概念理解错了，在FRM考试中我们认为volatility是标准差不是方差。

同学可以看下下面的计算过程，会更清晰一些。

----------------------------------------------
虽然现在很辛苦，但努力过的感觉真的很好，加油！

kanjani · 2023年02月23日

我记得在CFA考试中volatility是方差啊，两个是反着的？

DD仔_品职助教 · 2023年02月23日

嗨，努力学习的PZer你好：


金融里一般的定义都是：volatility=risk=σ=标准差

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

  • 2

    回答

  • 1

    关注

  • 345

    浏览
相关问题

NO.PZ2018122701000018 问题如下 The bank’s trang book consists of the following two assets: Correlation (= 0.2 How woulthe ily V99% level change if the bank sells $50 worth of asset A anbuys $50 worth of asset Assume there are 250 trang ys in a year. $0.2286 $0.4776 $0.7705 $0.7798 B is correct. 考点 Parametric Estimation Approaches 解析 The tra will crease the V0.4776。易错点求ily VaR，但题干给的是annureturn。t=0，组合由$100A+$50B构成，μP =13.33%, 由年转化为天，13.33%/250=0.0533%.σP =19.15%, 由年转化为天, 19.15%/SQRT(250)=1.2111%ily 99%VaR=（2.33*1.2111%-0.0533%）*$150=$4.1528t=1，组合由$50A+$100B构成，μP =16.66%, 由年转化为天，16.66%/250=0.0667%.σP =17.08%, 由年转化为天, 17.08%/SQRT(250)=1.0801%ily 99%VaR=（2.33*1.0801%-0.0667%）*$150=$3.6749所以$4.1528-$3.6749=0.4779，最接近的是 老师你们好！我还是不懂这一道题的up=13.3%是如何计算出来的？题目中表格的最后一列不知道是A 和B资产的总价还是单价？谢谢

2024-09-04 23:44 1 · 回答

NO.PZ2018122701000018 问题如下 The bank’s trang book consists of the following two assets: Correlation (= 0.2 How woulthe ily V99% level change if the bank sells $50 worth of asset A anbuys $50 worth of asset Assume there are 250 trang ys in a year. $0.2286 $0.4776 $0.7705 $0.7798 B is correct. 考点 Parametric Estimation Approaches 解析 The tra will crease the V0.4776。易错点求ily VaR，但题干给的是annureturn。t=0，组合由$100A+$50B构成，μP =13.33%, 由年转化为天，13.33%/250=0.0533%.σP =19.15%, 由年转化为天, 19.15%/SQRT(250)=1.2111%ily 99%VaR=（2.33*1.2111%-0.0533%）*$150=$4.1528t=1，组合由$50A+$100B构成，μP =16.66%, 由年转化为天，16.66%/250=0.0667%.σP =17.08%, 由年转化为天, 17.08%/SQRT(250)=1.0801%ily 99%VaR=（2.33*1.0801%-0.0667%）*$150=$3.6749所以$4.1528-$3.6749=0.4779，最接近的是 如题

2024-07-05 16:19 1 · 回答

NO.PZ2018122701000018 问题如下 The bank’s trang book consists of the following two assets: Correlation (= 0.2 How woulthe ily V99% level change if the bank sells $50 worth of asset A anbuys $50 worth of asset Assume there are 250 trang ys in a year. $0.2286 $0.4776 $0.7705 $0.7798 B is correct. 考点 Parametric Estimation Approaches 解析 The tra will crease the V0.4776。易错点求ily VaR，但题干给的是annureturn。t=0，组合由$100A+$50B构成，μP =13.33%, 由年转化为天，13.33%/250=0.0533%.σP =19.15%, 由年转化为天, 19.15%/SQRT(250)=1.2111%ily 99%VaR=（2.33*1.2111%-0.0533%）*$150=$4.1528t=1，组合由$50A+$100B构成，μP =16.66%, 由年转化为天，16.66%/250=0.0667%.σP =17.08%, 由年转化为天, 17.08%/SQRT(250)=1.0801%ily 99%VaR=（2.33*1.0801%-0.0667%）*$150=$3.6749所以$4.1528-$3.6749=0.4779，最接近的是 No.PZ2018122701000018 (选择题)来源: 品职出题The bank’s trang book consists of the following two assets:Correlation (= 0.2How woulthe ily V99% level change if the bank sells $50 worth of asset A anbuys $50 worth of asset B?Assume there are 250 trang ys in a year.考点Parametric Estimation Approaches解析The tra will crease the V0.4776。易错点求ily VaR，但题干给的是annureturn。t=0，组合由$100A+$50B构成，μP =13.33%, 由年转化为天，13.33%/250=0.0533%.σP =19.15%, 由年转化为天, 19.15%/SQRT(250)=1.2111%ily 99%VaR=（2.33*1.2111%-0.0533%）*$150=$4.1528t=1，组合由$50A+$100B构成，μP =16.66%, 由年转化为天，16.66%/250=0.0667%.σP =17.08%, 由年转化为天, 17.08%/SQRT(250)=1.0801%ily 99%VaR=（2.33*1.0801%-0.0667%）*$150=$3.6749所以$4.1528-$3.6749=0.4779，最接近的是B。

2024-01-30 03:42 1 · 回答

NO.PZ2018122701000018 问题如下 The bank’s trang book consists of the following two assets: Correlation (= 0.2 How woulthe ily V99% level change if the bank sells $50 worth of asset A anbuys $50 worth of asset Assume there are 250 trang ys in a year. $0.2286 $0.4776 $0.7705 $0.7798 B is correct. 考点 Parametric Estimation Approaches 解析 The tra will crease the V0.4776。易错点求ily VaR，但题干给的是annureturn。t=0，组合由$100A+$50B构成，μP =13.33%, 由年转化为天，13.33%/250=0.0533%.σP =19.15%, 由年转化为天, 19.15%/SQRT(250)=1.2111%ily 99%VaR=（2.33*1.2111%-0.0533%）*$150=$4.1528t=1，组合由$50A+$100B构成，μP =16.66%, 由年转化为天，16.66%/250=0.0667%.σP =17.08%, 由年转化为天, 17.08%/SQRT(250)=1.0801%ily 99%VaR=（2.33*1.0801%-0.0667%）*$150=$3.6749所以$4.1528-$3.6749=0.4779，最接近的是 如题，谢谢

2023-11-02 17:26 1 · 回答

NO.PZ2018122701000018问题如下 The bank’s trang book consists of the following two assets: Correlation (= 0.2 How woulthe ily V99% level change if the bank sells $50 worth of asset A anbuys $50 worth of asset Assume there are 250 trang ys in a year. $0.2286 $0.4776 $0.7705 $0.7798 B is correct. 考点 Parametric Estimation Approaches 解析 The tra will crease the V0.4776。易错点求ily VaR，但题干给的是annureturn。t=0，组合由$100A+$50B构成，μP =13.33%, 由年转化为天，13.33%/250=0.0533%.σP =19.15%, 由年转化为天, 19.15%/SQRT(250)=1.2111%ily 99%VaR=（2.33*1.2111%-0.0533%）*$150=$4.1528t=1，组合由$50A+$100B构成，μP =16.66%, 由年转化为天，16.66%/250=0.0667%.σP =17.08%, 由年转化为天, 17.08%/SQRT(250)=1.0801%ily 99%VaR=（2.33*1.0801%-0.0667%）*$150=$3.6749所以$4.1528-$3.6749=0.4779，最接近的是 可否先计算VarA,VarB,然后求的组合var。然后调仓后重新计算，然后求差后转化为天，可否列下计算过程

2023-04-12 21:45 1 · 回答