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

jojo · 2025年04月24日

是显示错误吗,题干说的calculations也妹看到啊?

NO.PZ2023091701000078

问题如下:

Assume that portfolio daily returns are independently and identically normally distributed. A new quantitative analyst has been asked by the portfolio manager to calculate portfolio VaRs for 10-, 15-, 20-, and 25-day periods. The portfolio manager notices something amiss with the analyst’s calculations displayed below. Which one of following VaRs on this portfolio is inconsistent with the others?

选项:

A.VaR(10-day) = USD 316M B.VaR(15-day) = USD 465M C.VaR(20-day) = USD 537M D.VaR(25-day) = USD 600M

解释:

The calculations follow. Calculate VaR(1-day) from each choice:

VaR(1-day) from A is different from those from other answers.



1 个答案

李坏_品职助教 · 2025年04月24日

嗨,努力学习的PZer你好:


这个题目ABCD四个选项,有一个是计算错误,需要你判断。


我们只需要把每个选项都转化为daily VaR就能看出来。


用VaR 除以根号T,就可得到daily VaR。

你会发现,A选项和其他的结果都不一样,所以就选A。

----------------------------------------------
努力的时光都是限量版,加油!

  • 1

    回答
  • 0

    关注
  • 3

    浏览
相关问题