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：
A.USD 1,389
B.USD 2,076
C.USD 3,324
D.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
constant和random的我都知道如何计算，但是本题Liquidity cost (LC) = 80,000 × (0.5 × 0.10/80) = 50
这里的spread就等于spread/mid price， 有些spread可以直接LC=1/2 X SPREAD X VALUE, 而有些就要 LC = 1/2 X SPREAD/MID PRICE ,这个在做题的时候怎么区分？
