如何区分normal和lognormal

NO.PZ2023100905000005

问题如下：

You are a manager of a renowned hedge fund and are analyzing a 1,000-share position in an undervalued but illiquid stock BNA, which has a current stock price of USD 80 (expressed as the midpoint of the current bid-ask spread). Daily return for BNA has an estimated volatility of 1.54%. The average bid-ask spread is USD 0.10. Assuming returns of BNA are normally distributed, what is the estimated liquidity-adjusted daily 95% VaR, using the constant spread approach?

选项：

USD 1,389

USD 2,076

USD 3,324

USD 4,351

解释：

The constant spread approach adds half of the bid-ask spread (as a percent) to the VaR calculation:

Daily 95% VaR = 80,000 (1.645 × 0.0154) = USD 2026.64

Liquidity cost (LC) = 80,000 × (0.5 × 0.10/80) = 50

LVaR = VaR + LC = 2076.64

在计算lvar时，怎么区分使用哪个公式进行计算

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李坏_品职助教 · 2024年08月04日

嗨，从没放弃的小努力你好：

如果题目没有说服从lognormal分布，则默认为normal的公式：

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

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NO.PZ2023100905000005 问题如下 You are a manager of a renowneee funanare analyzing a 1,000-share position in unrvaluebutilliquistoBNwhiha current stopriof US80 (expressethemioint of the current biask sprea. ily return for BNA hestimateolatility of 1.54%. The average biask spreis US0.10. Assuming returnsof BNA are normally stribute whis the estimateliquity-austeily95% VaR, using the constant spreapproach? A.US1,389 B.US2,076 C.US3,324 US4,351 The constant spreapproaas half of the biask spre(a percent) to the Vcalculation:ily 95% V= 80,000(1.645 × 0.0154) = US2026.64 Liquity cost (L=80,000 × (0.5 × 0.10/80) = 50 LV= V+ LC =2076.64 constant和ranm的我都知道如何计算，但是本题Liquity cost (L= 80,000 × (0.5 × 0.10/80) = 50这里的sprea等于spreamiprice，有些sprea以直接LC=1/2 X SPREX VALUE, 而有些就要 LC = 1/2 X SPREAMIPRI,这个在做题的时候怎么区分？

2024-10-24 22:36 1 · 回答

如何区分normal和lognormal

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