开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)|3.2.5(安卓)APP下载

shining · 2024年10月27日

lognormal VaR 计算时收益率和方便用年化的就可以嘛

NO.PZ2018122701000017

问题如下:

The annual mean and volatility of a portfolio are 10% and 40%, respectively. The current value of the portfolio is GBP 1,000,000. How does the 1-year 95% VaR that is calculated using a normal distribution assumption (normal VaR) compare with the 1-year 95% VaR that is calculated using the lognormal distribution assumption (lognormal VaR)?

选项:

A.

Lognormal VaR is greater than normal VaR by GBP 130,400

B.

Lognormal VaR is greater than normal VaR by GBP 175,900

C.

Lognormal VaR is less than normal VaR by GBP 130,400

D.

Lognormal VaR is less than normal VaR by GBP 175,900

解释:

C is correct.

考点 Parametric Estimation Approaches

解析:Normal VAR=0.1-(1.645×0.4)=0.558,

Lognormal VAR=1-exp[0.1-(1.645×0.4)]=0.4276

Hence, lognormal VaR is smaller than Normal VaR by 13.04% per year. With a portfolio of GBP 1,000,000, this translates to GBP 130,400 .

本题中计算 daily lognormal VaR 没有进行收益率和方差的转换,直接使用年化数据进行计算,原因呢。 那如果是 daily lognormal VaR 如何计算 呢

1 个答案
已采纳答案

李坏_品职助教 · 2024年10月27日

嗨,爱思考的PZer你好:


因为本题问的就是 1-year的VaR,所以不需要进行时间转换。


如果是daily的VaR,那要进行转换,daily return = 0.1 / 252, daily σ = 0.4 / 根号252。

----------------------------------------------
加油吧,让我们一起遇见更好的自己!

  • 1

    回答
  • 0

    关注
  • 39

    浏览
相关问题

NO.PZ2018122701000017 问题如下 The annumeanvolatility of a portfolio are 10% an40%, respectively. The current value of the portfolio is G1,000,000. How es the 1-ye95% Vthis calculateusing a normstribution assumption (normVaR) compare with the 1-ye95% Vthis calculated using the lognormstribution assumption (lognormVaR)? LognormVis greater thnormVG130,400 LognormVis greater thnormVG175,900 LognormVis less thnormVG130,400 LognormVis less thnormVG175,900 C is correct. 考点 Parametric Estimation Approaches 解析NormVAR=0.1-(1.645×0.4)=0.558,LognormVAR=1-exp[0.1-(1.645×0.4)]=0.4276Hence, lognormVis smaller thNormV13.04% per year. With a portfolio of G1,000,000, this translates to G130,400 . 老师,怎么知道95%是单尾,用1.645呢,我用的1.96

2023-06-01 22:48 2 · 回答

NO.PZ2018122701000017 问题如下 The annumeanvolatility of a portfolio are 10% an40%, respectively. The current value of the portfolio is G1,000,000. How es the 1-ye95% Vthis calculateusing a normstribution assumption (normVaR) compare with the 1-ye95% Vthis calculated using the lognormstribution assumption (lognormVaR)? LognormVis greater thnormVG130,400 LognormVis greater thnormVG175,900 LognormVis less thnormVG130,400 LognormVis less thnormVG175,900 C is correct. 考点 Parametric Estimation Approaches 解析NormVAR=0.1-(1.645×0.4)=0.558,LognormVAR=1-exp[0.1-(1.645×0.4)]=0.4276Hence, lognormVis smaller thNormV13.04% per year. With a portfolio of G1,000,000, this translates to G130,400 . 老师,按照咱们讲义里面的 -mean+z*sigma 这个表达方式是不是就是算出来是正的 表达的就是损失算出来是负的 那就是【负的损失】-- 就是盈利? (这是根据前面一道题总结出来的)然后 我们平常用的 mean-z*sigema 算出来的是负的就代表就是损失 只不过套了个绝对值来表达 但是算出来是正的就说明是盈利的请老师帮忙解答

2023-03-01 11:57 1 · 回答

NO.PZ2018122701000017问题如下 The annumeanvolatility of a portfolio are 10% an40%, respectively. The current value of the portfolio is G1,000,000. How es the 1-ye95% Vthis calculateusing a normstribution assumption (normVaR) compare with the 1-ye95% Vthis calculated using the lognormstribution assumption (lognormVaR)? LognormVis greater thnormVG130,400 LognormVis greater thnormVG175,900 LognormVis less thnormVG130,400 LognormVis less thnormVG175,900 C is correct. 考点 Parametric Estimation Approaches 解析NormVAR=0.1-(1.645×0.4)=0.558,LognormVAR=1-exp[0.1-(1.645×0.4)]=0.4276Hence, lognormVis smaller thNormV13.04% per year. With a portfolio of G1,000,000, this translates to G130,400 . 为什么我算不出来0.4276?我算出来的是0.7471

2022-07-14 22:50 1 · 回答

NO.PZ2018122701000017 如题,这道题认为vol是标准差,不对吧

2021-09-24 19:11 1 · 回答