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Lucy · 2020年03月13日

问一道题:NO.PZ2020011303000238 [ FRM I ]

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

请问这个var是怎么计算的。那个考点,谢谢🙏
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品职答疑小助手雍 · 2020年03月13日

同学你好,前一问算出来1天的标准差也就是波动率是329.19, 正态分布的情况下95%对应的分位点是1.645, 根据平方根法则,20天的var比起一天的var是要乘以根号20的。

所以就得到的根号20乘以1.645乘以标准差。就是20天95%的var了~

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