海伦岛主 · 2020年03月25日
问题如下：
A portfolio has daily expected return of 0.03% and standard deviation of 0.25%. Assume the portfolio’s market value is $20million, its 1% monthly VaR should be (suppose there are 21 business days in a month):
选项：
A.$638,420
B.$409,900
C.$110,500
解释：
B is correct.
考点: VaR计算
解析：将天化的收益和标准差转化月化：E(Rp)=0.03%*21=0.63%, σp =0.25%*(21)0.5=1.15%,
VaR=$(2.33*1.15%-0.63%)*20million=$409900
此处为何用2.33个标准差？我记得是2.58个？
丹丹_品职答疑助手 · 2020年03月25日
嗨，爱思考的PZer你好：
同学你好，原版书倒有明确的说法：It is also common to use a 1% threshold,
which is 2.33 standard deviations from the expected value, and some investment managers use a one standard deviation movement (equal to a 16% VaR), both assuming a normal distribution.
这是正态分布的表，我们找到0.99对应的是2.33附近，所以是2.33.不过考试时候我们通常考查95%、99%及90%的情况，同学可以熟记这些特殊数字。
-------------------------------加油吧，让我们一起遇见更好的自己！
NO.PZ2018091701000086 问题如下 A portfolio hily expectereturn of 0.03% anstanrviation of 0.25%. Assume the portfolio’s market value is $20million, its 1% monthly Vshoul(suppose there are 21 business ys in a month): A.$638,420 B.$409,900 C.$110,500 B is correct.考点: VaR计算解析将天化的收益和标准差转化月化E(Rp)=0.03%*21=0.63%, σp =0.25%*(21)0.5=1.15%,VaR=$(2.33*1.15%-0.63%)*20million=$409900 如题
NO.PZ2018091701000086 问题如下 A portfolio hily expectereturn of 0.03% anstanrviation of 0.25%. Assume the portfolio’s market value is $20million, its 1% monthly Vshoul(suppose there are 21 business ys in a month): A.$638,420 B.$409,900 C.$110,500 B is correct.考点: VaR计算解析将天化的收益和标准差转化月化E(Rp)=0.03%*21=0.63%, σp =0.25%*(21)0.5=1.15%,VaR=$(2.33*1.15%-0.63%)*20million=$409900 为什么不能算出1天的VaR，再乘以根号下21
NO.PZ2018091701000086 问题如下 A portfolio hily expectereturn of 0.03% anstanrviation of 0.25%. Assume the portfolio’s market value is $20million, its 1% monthly Vshoul(suppose there are 21 business ys in a month): A.$638,420 B.$409,900 C.$110,500 B is correct.考点: VaR计算解析将天化的收益和标准差转化月化E(Rp)=0.03%*21=0.63%, σp =0.25%*(21)0.5=1.15%,VaR=$(2.33*1.15%-0.63%)*20million=$409900 请问ily retuen 转换为月度renturn为什么不是用compounrate来计算？而是直接乘以21？
NO.PZ2018091701000086 问题如下 A portfolio hily expectereturn of 0.03% anstanrviation of 0.25%. Assume the portfolio’s market value is $20million, its 1% monthly Vshoul(suppose there are 21 business ys in a month): A.$638,420 B.$409,900 C.$110,500 B is correct.考点: VaR计算解析将天化的收益和标准差转化月化E(Rp)=0.03%*21=0.63%, σp =0.25%*(21)0.5=1.15%,VaR=$(2.33*1.15%-0.63%)*20million=$409900 VAR公式不是μ+-k倍标准差吗？为什么答案是k倍标准差-μ
NO.PZ2018091701000086 我算【21*expecteretrun-2.33*根号下21* stanrviation】=40787
