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NO.PZ2023102101000009

问题如下：

As a risk manager for Bank ABC is asked to calculate the market riskcapital charge of the bank’s trading portfolio under the internal modelsapproach using the information given in the table below. Assuming the return ofthe banks trading portfolio is normally distributed, what is the market riskcapital charge of the trading portfolio?

VaR (95%, 1-day) of last trading day USD 30,000

Average VaR (95%, 1-day) for last 60 tradingdays USD 20,000

Multiplication Factor 3

选项：

USD 84,582

USD 134,594

USD 189,737

USD 267,471

解释：

Market Risk Capital Charge

MAX (30,000 × SQRT(10)/1.65 × 2.326, 3 ×20,000 × SQRT (10)/1.65 × 2.326) = 267,471

Candidate is required to convert the VaR (95%, 1-day)to a 95% 10-day VaR.

为什么要除以1.65 ，再乘以2.32

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1 个答案

李坏_品职助教 · 2025年05月02日

嗨，努力学习的PZer你好：

题目给出的条件是95%的置信度，但是我们按照讲义的要求，应该转换为99%的置信度：

比如USD 30,000这个条件是1天的95%的VaR, 而95%的Z值是1.65，我先除以1.65，再乘以99%置信度的Z值2.326，这样即可转化为99%置信度的VaR。当然还要乘以根号10，把1-day转化为10-day。

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NO.PZ2023102101000009问题如下 a risk manager for Bank Ais asketo calculate the market riskcapitcharge of the bank’s trang portfolio unr the internmolsapproausing the information given in the table below. Assuming the return ofthe banks trang portfolio is normally stribute whis the market riskcapitcharge of the trang portfolio? V(95%, 1-y) of last trang y US30,000 Average V(95%, 1-y) for last 60 trangys US20,000 Multiplication Factor 3 A.US84,582B.US134,594C.US189,737US267,471 Market Risk CapitCharge M(30,000 × SQRT(10)/1.65 × 2.326, 3 ×20,000 × SQRT (10)/1.65 × 2.326) = 267,471 Cante is requireto convert the V(95%, 1-y)to a 95% 10-y VaR. 20000不是过去60天的吗为什么不用除以根号60

2024-11-02 23:57 1 · 回答