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

水瓶公主 · 2023年10月25日

减少的不应该是组合2的var吗

  1. FRM II
  2. Risk Management And Investment Management

NO.PZ2016071602000011

问题如下：

A risk manager assumes that the joint distribution of returns is multivariate normal and calculates the following risk measures for a two-asset portfolio:

If asset 2 is dropped from the portfolio, what is the reduction in portfolio VAR?

选项：

A.

USD 15.0

B.

USD 38.3

C.

USD 44.0

D.

USD 46.6

解释：

B is correct. This is 61.6 minus the portfolio VAR of asset 1 alone, which is USD 23.3, for a difference of 38.3.

拿掉组合2，整个var不应该就是减去var2吗？为什么还要剪去var1

添加评论
1 个答案

李坏_品职助教 · 2023年10月25日

嗨，从没放弃的小努力你好：


题目说的是，现在有两个资产1和2，这俩资产一起组成了一个portfolio。现在拿掉了资产2，问我们portfolio的VaR会下降多少？


拿掉了资产2，Portfolio里面只剩下资产1了，所以拿掉资产2之后的Portfolio的VaR是23.3。

拿掉资产2之前的Portfolio的VaR是61.6。

所以Portfolio的VaR下降了61.6-23.3 = 38.3

----------------------------------------------
加油吧，让我们一起遇见更好的自己！

  • 1

    回答

  • 0

    关注

  • 220

    浏览
相关问题

NO.PZ2016071602000011问题如下A risk manager assumes ththe joint stribution of returns is multivariate normancalculates the following risk measures for a two-asset portfolio:If asset 2 is oppefrom the portfolio, whis the rection in portfolio VAR?A.US15.0B.US38.3C.US44.0US46.6B is correct. This is 61.6 minus the portfolio Vof asset 1 alone, whiis US23.3, for a fferenof 38.3.老师， 为什么 我们不能用 VContribution 那一列呢 ？ 就是 Portfolio op 了 2 资产 , 直接就是少了 44 ？

2024-09-23 13:31 1 · 回答

NO.PZ2016071602000011 问题如下 A risk manager assumes ththe joint stribution of returns is multivariate normancalculates the following risk measures for a two-asset portfolio:If asset 2 is oppefrom the portfolio, whis the rection in portfolio VAR? A.US15.0 B.US38.3 C.US44.0 US46.6 B is correct. This is 61.6 minus the portfolio Vof asset 1 alone, whiis US23.3, for a fferenof 38.3. 如题

2024-03-18 17:27 2 · 回答

NO.PZ2016071602000011 问题如下 A risk manager assumes ththe joint stribution of returns is multivariate normancalculates the following risk measures for a two-asset portfolio:If asset 2 is oppefrom the portfolio, whis the rection in portfolio VAR? A.US15.0 B.US38.3 C.US44.0 US46.6 B is correct. This is 61.6 minus the portfolio Vof asset 1 alone, whiis US23.3, for a fferenof 38.3. 老师组合中两个资产拿掉一个资产不应该用CVaR来考虑吗？所以拿掉的部分不就是组合中减少的VAR了吗？那不就是44吗？这个思路错在哪里

2022-11-12 17:20 1 · 回答

NO.PZ2016071602000011问题如下A risk manager assumes ththe joint stribution of returns is multivariate normancalculates the following risk measures for a two-asset portfolio:If asset 2 is oppefrom the portfolio, whis the rection in portfolio VAR? A.US15.0 B.US38.3 C.US44.0 US46.6B is correct. This is 61.6 minus the portfolio Vof asset 1 alone, whiis US23.3, for a fferenof 38.3.我的理解是如果把第一个资产拿掉的话，这是portfolio var是多少。 老师在课堂上不是说过component var考虑了分散化，所有资产的cvar加和等于portfolio var。那么为什么不用原来的portfolio v减去asset 1的cv而得到新的porfolio var呢

2022-04-02 15:32 2 · 回答