组合var计算

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 题目答案解析是把年收益率和波动率先转化成天再算调整前后的 VaR为何按照给出的收益率和波动率分别计算出调整前后的年 v再转换成天 V不行呢（计算出的答案接近 C）

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 能不能直接计算（50A-50B）组合的均值和标准差，然后再算VAR

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

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

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。