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梦梦 · 2025年04月06日

为什么不考虑p，哪里算错了呢？

  1. FRM II
  2. Risk Management And Investment Management

NO.PZ2019042401000057

问题如下：

An investment fund uses risk budgeting as part of its risk management process. Risk is calculated and monitored using delta-normal VaR at the 99% confidence level. The fund’s total principal of EUR 100 million is invested across four asset classes comprised of European stocks, non-European stocks, European bonds, and non-European bonds. The total volatility profile of the fund is maintained at 10%. Information on the four asset classes is given below:


What is the sum of the risk budgets that should be allocated to the four asset classes?

选项：

A.

EUR 22.12 million

B.

EUR 11.64 million

C.

EUR 38.86 million

D.

EUR 100.0 million

解释：

A is correct:


B is incorrect. EUR 11.64 million is the VaR of the fund: 100 x 5% x 2.33 = 11.64

C is incorrect. EUR 38.86 million is found when volatilities are multiplied by EUR 100 million and added together.

D is incorrect. EUR 100 million is the principal amount.

为什么不考虑p？

课程里讲的portfolio的VaR不应该是红色公式吗？

答案就是把四个资产的VaR简单相加。

哪里计算错了呢？

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1 个答案

李坏_品职助教 · 2025年04月06日

嗨，努力学习的PZer你好：


这题的考点是risk budget，这个是每个资产单独计算的，不是让你考虑相关性再去计算组合VaR。


risk budget就是根据每个资产自己的VaR，相当于我们要单独考虑给每个资产分配的最大预算。



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