问一道题：NO.PZ2016082406000058

Consider the following information. You have purchased 10,000 barrels of oil for delivery in one year at a price of $25/barrel. The rate of change of the price of oil is assumed to be normally distributed with zero mean and annual volatility of 30%. Margin is to be paid within two days if the credit exposure becomes greater than $50,000. There are 252 business days in the year. Assuming enforceability of the margin agreement, which of the following is the closest number to the 95% one-year credit risk of this deal governed under the margining agreement?

选项：

$50,000

$58,000

$61,000

$123,000

解释：

ANSWER: C

The worst credit exposure is the $50,000 plus the worst move over two days at the 95% level. The worst potential move is $\alpha\sigma\sqrt T=1.645\times30\%\times\sqrt{\frac2{252}}=4.40\%$. Applied to the position worth $250,000, this gives a worst move of $10,991. Adding this to $50,000 gives $60,991.

题目问which of the following is the closest number to the 95% one-year credit risk 

既然是问的one year的credit risk，为什么求Var的时候要转换成有两天敞口的呢？