问题如下:
What is the estimated 20-day, 95% VaR for the portfolio in the previous question?
解释:
The VaR is
201/2
× N-1(0.95)
× 329.19 =
2,421.55
NO.PZ2020011303000238问题如下 Suppose a portfolio hexposure of +50 to a one basis-point increase in the five-yeTreasury rate, exposure of -100 to a one-basis-point increase in the ten-yeTreasury rate, anno other exposures. The stanrviation of the ily change in the portfolio above baseon its exposure to the first two factors is 329.19.Whis the estimate20-y, 95% Vfor the portfolio? 题目问假设有一个组合,当5年的treasury利率上升1bp时,exposure变成+50;10年的treasury利率上升1bp时,exposure变成-100。没有其他的exposure,1天的组合标准差是329.19。要求估计组合20天,95%的VaR。20-y95%VaR=201/2× N-1(0.95)× 329.19 =2,421.55 我不知道问题出在哪 公式对了 数字也带的一样 就是329.19✖️1.65✖️根号20等于的是2429.10
NO.PZ2020011303000238问题如下 Suppose a portfolio hexposure of +50 to a one basis-point increase in the five-yeTreasury rate, exposure of -100 to a one-basis-point increase in the ten-yeTreasury rate, anno other exposures. The stanrviation of the ily change in the portfolio above baseon its exposure to the first two factors is 329.19.Whis the estimate20-y, 95% Vfor the portfolio? 题目问假设有一个组合,当5年的treasury利率上升1bp时,exposure变成+50;10年的treasury利率上升1bp时,exposure变成-100。没有其他的exposure,1天的组合标准差是329.19。要求估计组合20天,95%的VaR。20-y95%VaR=201/2× N-1(0.95)× 329.19 =2,421.55 这里一天标准差怎么算出来的
NO.PZ2020011303000238问题如下 Suppose a portfolio hexposure of +50 to a one basis-point increase in the five-yeTreasury rate, exposure of -100 to a one-basis-point increase in the ten-yeTreasury rate, anno other exposures. The stanrviation of the ily change in the portfolio above baseon its exposure to the first two factors is 329.19.Whis the estimate20-y, 95% Vfor the portfolio? 题目问假设有一个组合,当5年的treasury利率上升1bp时,exposure变成+50;10年的treasury利率上升1bp时,exposure变成-100。没有其他的exposure,1天的组合标准差是329.19。要求估计组合20天,95%的VaR。20-y95%VaR=201/2× N-1(0.95)× 329.19 =2,421.55 如果用其他方法计算VAR怎么计算?在本题中。谢谢
NO.PZ2020011303000238问题如下 Suppose a portfolio hexposure of +50 to a one basis-point increase in the five-yeTreasury rate, exposure of -100 to a one-basis-point increase in the ten-yeTreasury rate, anno other exposures. The stanrviation of the ily change in the portfolio above baseon its exposure to the first two factors is 329.19.Whis the estimate20-y, 95% Vfor the portfolio? 题目问假设有一个组合,当5年的treasury利率上升1bp时,exposure变成+50;10年的treasury利率上升1bp时,exposure变成-100。没有其他的exposure,1天的组合标准差是329.19。要求估计组合20天,95%的VaR。20-y95%VaR=201/2× N-1(0.95)× 329.19 =2,421.55 5年的lta=50,10年的lta=-100
NO.PZ2020011303000238问题如下 Suppose a portfolio hexposure of +50 to a one basis-point increase in the five-yeTreasury rate, exposure of -100 to a one-basis-point increase in the ten-yeTreasury rate, anno other exposures. The stanrviation of the ily change in the portfolio above baseon its exposure to the first two factors is 329.19.Whis the estimate20-y, 95% Vfor the portfolio? 题目问假设有一个组合,当5年的treasury利率上升1bp时,exposure变成+50;10年的treasury利率上升1bp时,exposure变成-100。没有其他的exposure,1天的组合标准差是329.19。要求估计组合20天,95%的VaR。20-y95%VaR=201/2× N-1(0.95)× 329.19 =2,421.55 请分析为何使用该公式?讲义哪里可以找到?那些条件变化是什么意思呢 风险敞口的变化和利率的关系