NO.PZ2023100703000021
问题如下：
The bank’s trading book consists of the following two assets:
Correlation (A, B) = 0.2
How would the daily VaR at 99% level change if the bank sells 50 worth of asset A and buys 50 worth of asset B?
Assume there are 250 trading days in a year.
选项：
A.0.2286 B.0.4776 C.0.7705 D.0.7798解释：
The trade will decrease the VaR by 0.4776为什么不单独算VaR（A），VaR（B），然后再算Portfolio VaR?
VaR（A）=|0.1/250-2.33*0.25/√250|=0.036441
VaR（B）=|0.2/250-2.33*0.2/√250| =0.028672
VaR(Portfolio)²=w1²VaR（A）²+w2²VaR（B）²+2w1w2VaR（A）VaR（B）=0.0007744
VaR(Portfolio)=0.027828
