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nanaluo · 2022年09月14日

不太明白这题

NO.PZ2018122701000048

问题如下:

A portfolio manager owns a portfolio of options on a non-dividend paying stock RTX. The portfolio is made up of 10,000 deep in-the-money call options on RTX and 50,000 deep out-of-the money call options on RTX. The portfolio also contains 20,000 forward contracts on RTX. RTX is trading at USD 100. If the volatility of RTX is 30% per-year, which of the following amounts would be closest to the 1-day VaR of the portfolio at the 95 percent confidence level, assuming 252 trading days in a year?

选项:

A.

USD 932

B.

USD 93,263

C.

USD 111,122

D.

USD 131,892

解释:

B is correct.

考点 Mapping to Option Position

解析 We need to map the portfolio to a position in the underlying stock RTX. A deep in-the-money call has a delta of approximately 1, a deep out-of-the-money call has delta of approximately 0 and forwards have a delta of 1. The net portfolio has a delta of about 30,000 and is approximately gamma neutral. The 1-day VaR estimate at 95 percent confidence level is computed as follows:

α×S××σ×SQRT(1/T)=1.645×100×30000×0.3×SQRT(1/252)=93263

没看明白解释,请问对应哪个考点


2 个答案

DD仔_品职助教 · 2023年03月04日

嗨,爱思考的PZer你好:


95%的置信区间下z值=1.645

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就算太阳没有迎着我们而来,我们正在朝着它而去,加油!

DD仔_品职助教 · 2022年09月14日

嗨,爱思考的PZer你好:


同学你好,

考察的是MR的78页VAR mapping的内容,具体如下图:

这道题是求option的VaR,这个组合里都是option所以我们用的是红色花圈的公式来进行计算。

那么画圈的VaR(dS)=区间调整*σ*日子调整*股票价格,VAR(dc)=delta*VAR(ds),带入具体数字即可

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虽然现在很辛苦,但努力过的感觉真的很好,加油!

kanjani · 2023年03月02日

“VaR(dS)=区间调整*σ*日子调整*股票价格”,这里面的区间调整1.65是什么意思?不太懂

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NO.PZ2018122701000048问题如下 A portfolio manager owns a portfolio of options on a non-vinpaying stoRTX. The portfolio is ma up of 10,000 ep in-the-money call options on RTX an50,000 ep out-of-the money call options on RTX. The portfolio also contains 20,000 forwarcontracts on RTX. RTX is trang US100. If the volatility of RTX is 30% per-year, whiof the following amounts woulclosest to the 1-y Vof the portfolio the 95 percent confinlevel, assuming 252 trang ys in a year? US932 US93,263 US111,122 US131,892 B is correct. 考点 Mapping to Option Position 解析 We neeto mthe portfolio to a position in the unrlying stoRTX. A ep in-the-money call ha lta of approximately 1, a ep out-of-the-money call hlta of approximately 0 anforwar have a lta of 1. The net portfolio ha lta of about 30,000 anis approximately gamma neutral. The 1-y Vestimate 95 percent confinlevel is computefollows:α×S×∆×σ×SQRT(1/T)=1.645×100×30000×0.3×SQRT(1/252)=93263 老师, 能一下 为什么lta gamma neutr? 这个 没看懂

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