NO.PZ2019042401000041
问题如下:
Analyst BOb collects the following information about assets A and B
Based on the above table, the VaR of the portfolio composed of asset A and B at 95% confidence level is :
选项:
A.$399,123.
B.$316,225.
C.$414,120.
D.$444,510.
解释:
D is correct.
考点:portfolio diversified VaR
解析:
第一步,计算组合的标准差:
VarianceA,B= w2σ2+w2σ2+2×wA×wB×σA ×σB × CorrA,B
Variancex,y = 0.4^2×0.07^2+0.6^2×0.05^2+2×0.4×0.6×0.07×0.05×0.2
Variancex,y = 0.000784 + 0.0009 + 0.000336
Variancex,y = 0.002020
第二步,计算 VaR
VaR = 1.65 x volatility x portfolio value
VaR = 1.65 x 0.0449 x $6m
VaR = $444,510
所以volatility是sigma而不是sigma平方吗