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

AliciaLi · 2023年07月21日

VAR的1.65不可以最后再乘吗？

  1. FRM II
  2. Market Risk Measurement And Management

NO.PZ2018122701000049

问题如下：

A portfolio consists of options on Microsoft and AT&T. The options on Microsoft have a delta of 1000, and the options on AT&T have a delta of 20000. The Microsoft share price is $120, and the AT&T share price is $30. Assuming that the daily volatility of Microsoft is 2% and the daily volatility of AT&T is 1% and the correlation between the daily changes is 0.3, the 5-day 95% VaR is

选项：

A.

26193

B.

25193

C.

27193

D.

24193

解释：

A is correct.

考点：Mapping to Option Position

解析：VaRMic= 1.65 × 2% × 120 × 1000 = 3960

VaRAT&T= 1.65 × 1% × 30 × 20000=9900

VARP(5−day,95%)=39602+99002+2×0.3×3960×9900×5=26193VAR_{P(5-day,95\%)}=\sqrt{3960^2+9900^2+2\times0.3\times3960\times9900}\times\sqrt5=26193

最后portfoli的var不可以先算出来分别的var， 然后用组合的var再乘以1.65吗再乘以根号5？我用这个方法算了结果不一样

添加评论
1 个答案

李坏_品职助教 · 2023年07月22日

嗨，从没放弃的小努力你好：


这道题的算法就是先把Mic和ATT各自的VaR算出来再去进行组合。一个完整的VaR肯定是包含1.65的。

所以题目给的答案是最合适的解法。


如果一定要把1.65最后再乘：

VaR_Mic= 2% × 120 × 1000 = 2400

VaR_AT&T= 1% × 30 × 20000=6000

组合起来：VaR= 1.65*根号下(2400^2 + 6000^2 + 2*0.3*2400*6000) * 根号5 = 26193

----------------------------------------------
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

  • 274

    浏览
相关问题

NO.PZ2018122701000049问题如下 A portfolio consists of options on Microsoft and AT&T. The options on Microsoft have a lta of 1000, anthe options on AT&T have a lta of 20000. The Microsoft share priis $120, anthe AT&T share priis $30. Assuming ththe ily volatility of Microsoft is 2% anthe ily volatility of AT&T is 1% anthe correlation between the ily changes is 0.3, the 5-y 95% Vis 26193 25193 27193 24193 A is correct. 考点Mapping to Option Position 解析VaRMi1.65 × 2% × 120 × 1000 = 3960 VaRT= 1.65 × 1% × 30 × 20000=9900 VARP(5−y,95%)=39602+99002+2×0.3×3960×9900×5=26193VAR_{P(5-y,95\%)}=\sqrt{3960^2+9900^2+2\times0.3\times3960\times9900}\times\sqrt5=26193VARP(5−y,95%)​=39602+99002+2×0.3×3960×9900​×5​=26193 能详细讲下原理吗？两个var的组合求法在哪讲的呀？还有就是为啥是乘根号5啊？

2024-03-18 16:13 3 · 回答

NO.PZ2018122701000049 问题如下 A portfolio consists of options on Microsoft and AT&T. The options on Microsoft have a lta of 1000, anthe options on AT&T have a lta of 20000. The Microsoft share priis $120, anthe AT&T share priis $30. Assuming ththe ily volatility of Microsoft is 2% anthe ily volatility of AT&T is 1% anthe correlation between the ily changes is 0.3, the 5-y 95% Vis 26193 25193 27193 24193 A is correct. 考点Mapping to Option Position 解析VaRMi1.65 × 2% × 120 × 1000 = 3960 VaRT= 1.65 × 1% × 30 × 20000=9900 VARP(5−y,95%)=39602+99002+2×0.3×3960×9900×5=26193VAR_{P(5-y,95\%)}=\sqrt{3960^2+9900^2+2\times0.3\times3960\times9900}\times\sqrt5=26193VARP(5−y,95%)​=39602+99002+2×0.3×3960×9900​×5​=26193 如题

2024-03-05 03:51 1 · 回答

NO.PZ2018122701000049 问题如下 A portfolio consists of options on Microsoft and AT&T. The options on Microsoft have a lta of 1000, anthe options on AT&T have a lta of 20000. The Microsoft share priis $120, anthe AT&T share priis $30. Assuming ththe ily volatility of Microsoft is 2% anthe ily volatility of AT&T is 1% anthe correlation between the ily changes is 0.3, the 5-y 95% Vis 26193 25193 27193 24193 A is correct. 考点Mapping to Option Position 解析VaRMi1.65 × 2% × 120 × 1000 = 3960 VaRT= 1.65 × 1% × 30 × 20000=9900 VARP(5−y,95%)=39602+99002+2×0.3×3960×9900×5=26193VAR_{P(5-y,95\%)}=\sqrt{3960^2+9900^2+2\times0.3\times3960\times9900}\times\sqrt5=26193VARP(5−y,95%)​=39602+99002+2×0.3×3960×9900​×5​=26193 和讲义上的公式不一样，能否请老师讲答案公式每一项对应的数值含义说明一下，谢谢

2023-04-30 21:34 1 · 回答

NO.PZ2018122701000049 问题如下 A portfolio consists of options on Microsoft and AT&T. The options on Microsoft have a lta of 1000, anthe options on AT&T have a lta of 20000. The Microsoft share priis $120, anthe AT&T share priis $30. Assuming ththe ily volatility of Microsoft is 2% anthe ily volatility of AT&T is 1% anthe correlation between the ily changes is 0.3, the 5-y 95% Vis 26193 25193 27193 24193 A is correct. 考点Mapping to Option Position 解析VaRMi1.65 × 2% × 120 × 1000 = 3960 VaRT= 1.65 × 1% × 30 × 20000=9900 VARP(5−y,95%)=39602+99002+2×0.3×3960×9900×5=26193VAR_{P(5-y,95\%)}=\sqrt{3960^2+9900^2+2\times0.3\times3960\times9900}\times\sqrt5=26193VARP(5−y,95%)​=39602+99002+2×0.3×3960×9900​×5​=26193 老师您好，我能明白题目的解法。但是在做的时候，我突然想尝试用miu ≠ 0 的那种带权重的方式求解。这里的权重应该怎么计算呢。麻烦老师解答。我的直觉是用金额直接放进去算，但是好像又不太对

2023-04-26 20:50 2 · 回答