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和棋 · 2020年08月23日

问一道题:NO.PZ2016070202000016

问题如下:

In early 2000, a risk manager calculates the VAR for a technology stock fund based on the past three years of data. The strategy of the fund is to buy stocks and write out-of-the-money puts. The manager needs to compute VAR. Which of the following methods would yield results that are least representative of the risks inherent in the portfolio?

选项:

A.

Historical simulation with full repricing

B.

Delta-normal VAR assuming zero drift

C.

Monte Carlo style VAR assuming zero drift with full repricing

D.

Historical simulation using delta equivalents for all positions

解释:

D is correct.

Because the portfolio has options, methods A or C based on full repricing would be appropriate. Next, recall that technology stocks had a big increase in price until March 2000. From 1996 to 1999, the NASDAQ index went from 1,300 to 4,000. This creates a positive drift in the series of returns. So, historical simulation without an adjustment for this drift would bias the simulated returns upward, thereby underestimating VAR.

请问能解释下D选项是什么意思吗?

1 个答案

袁园_品职助教 · 2020年08月24日

同学你好!

D就是直接用了历史数据,没有假设zero drift,也就是直接用这3年的泡沫期间的positive drift进行模拟的,但这处于泡沫期,如果不把这个positive drift给调整掉,就会高估returns、低估风险,也就是低估了VaR,没有充分体现资产组合里蕴含的风险