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Roseline · 2020年12月21日

问一道题：NO.PZ2018122701000017

  1. FRM II
  2. Market Risk Measurement And Management

问题如下：

The annual mean and volatility of a portfolio are 10% and 40%, respectively. The current value of the portfolio is GBP 1,000,000. How does the 1-year 95% VaR that is calculated using a normal distribution assumption (normal VaR) compare with the 1-year 95% VaR that is calculated using the lognormal distribution assumption (lognormal VaR)?

选项：

A.

Lognormal VaR is greater than normal VaR by GBP 13,040

B.

Lognormal VaR is greater than normal VaR by GBP 17,590

C.

Lognormal VaR is less than normal VaR by GBP 13,040

D.

Lognormal VaR is less than normal VaR by GBP 17,590

解释：

C is correct.

考点 ： Parametric Estimation Approaches

解析：Normal VAR=0.1-(1.645×0.4）=0.558，

Lognormal VAR=1-exp[0.1-(1.645×0.4)]=0.4276

Hence, lognormal VaR is smaller than Normal VaR by 13.04% per year. With a portfolio of GBP 1,000,000, this translates to GBP 13,040.

老师好，四个选项的小数位都不对，正确答案应该是130,400

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品职答疑小助手雍 · 2020年12月22日

嗨，努力学习的PZer你好：


是都少了个0，我反馈一下~谢谢指出


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加油吧，让我们一起遇见更好的自己！


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