北平小太爷 · 2024年05月20日
NO.PZ2018091701000086
问题如下：
A portfolio has daily expected return of 0.03% and standard deviation of 0.25%. Assume the portfolio’s market value is $20million, its 1% monthly VaR should be (suppose there are 21 business days in a month):
选项：
A.$638,420
B.$409,900
C.$110,500
解释：
B is correct.
考点: VaR计算
解析：将天化的收益和标准差转化月化：E(Rp)=0.03%*21=0.63%, σp =0.25%*(21)0.5=1.15%,
VaR=$(2.33*1.15%-0.63%)*20million=$409900
为什么不能算出1天的VaR，再乘以根号下21
NO.PZ2018091701000086 问题如下 A portfolio hily expectereturn of 0.03% anstanrviation of 0.25%. Assume the portfolio’s market value is $20million, its 1% monthly Vshoul(suppose there are 21 business ys in a month): A.$638,420 B.$409,900 C.$110,500 B is correct.考点: VaR计算解析将天化的收益和标准差转化月化E(Rp)=0.03%*21=0.63%, σp =0.25%*(21)0.5=1.15%,VaR=$(2.33*1.15%-0.63%)*20million=$409900 如题
NO.PZ2018091701000086 问题如下 A portfolio hily expectereturn of 0.03% anstanrviation of 0.25%. Assume the portfolio’s market value is $20million, its 1% monthly Vshoul(suppose there are 21 business ys in a month): A.$638,420 B.$409,900 C.$110,500 B is correct.考点: VaR计算解析将天化的收益和标准差转化月化E(Rp)=0.03%*21=0.63%, σp =0.25%*(21)0.5=1.15%,VaR=$(2.33*1.15%-0.63%)*20million=$409900 请问ily retuen 转换为月度renturn为什么不是用compounrate来计算？而是直接乘以21？
NO.PZ2018091701000086 问题如下 A portfolio hily expectereturn of 0.03% anstanrviation of 0.25%. Assume the portfolio’s market value is $20million, its 1% monthly Vshoul(suppose there are 21 business ys in a month): A.$638,420 B.$409,900 C.$110,500 B is correct.考点: VaR计算解析将天化的收益和标准差转化月化E(Rp)=0.03%*21=0.63%, σp =0.25%*(21)0.5=1.15%,VaR=$(2.33*1.15%-0.63%)*20million=$409900 VAR公式不是μ+-k倍标准差吗？为什么答案是k倍标准差-μ
NO.PZ2018091701000086 我算【21*expecteretrun-2.33*根号下21* stanrviation】=40787
