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Rita · 2024年04月21日

Volatility of return of the fund = 10% 是怎么算出来的？

  1. FRM II
  2. Risk Management And Investment Management

NO.PZ2019042401000057

问题如下：

An investment fund uses risk budgeting as part of its risk management process. Risk is calculated and monitored using delta-normal VaR at the 99% confidence level. The fund’s total principal of EUR 100 million is invested across four asset classes comprised of European stocks, non-European stocks, European bonds, and non-European bonds. The total volatility profile of the fund is maintained at 5%. Information on the four asset classes is given below:


What is the sum of the risk budgets that should be allocated to the four asset classes?

选项：

A.

EUR 22.12 million

B.

EUR 11.64 million

C.

EUR 38.86 million

D.

EUR 100.0 million

解释：

A is correct:


B is incorrect. EUR 11.64 million is the VaR of the fund: 100 x 5% x 2.33 = 11.64

C is incorrect. EUR 38.86 million is found when volatilities are multiplied by EUR 100 million and added together.

D is incorrect. EUR 100 million is the principal amount.

、isk Management and Investment Management

Describe the risk budgeting process and calculate risk budgets across asset classes and active managers.

如题

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Rita · 2024年04月22日

可以写出5%的计算过程吗？

2 个答案
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李坏_品职助教 · 2024年04月23日

嗨，爱思考的PZer你好：


题目条件给出“The total volatility profile of the fund is maintained at 5%.”，所以此处应该是5%，不用计算的。

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努力的时光都是限量版，加油！

李坏_品职助教 · 2024年04月22日

嗨，努力学习的PZer你好：


这个地方10%不太对，题目给的是5%。我跟同时反馈一下，多谢同学提醒~

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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！

Rita · 2024年04月22日

可以写出5%的计算过程吗？

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