John Flag, the manager of a $150 million distressed bond portfolio, conducts stress tests on the portfolio. The portfolio’s annualized return is 12%,with an annualized return volatility of 25%. In the past two years, the portfolio encountered several days when the daily value change of the portfolio was more than 3 standard deviations. If the portfolio would suffer a 4-sigma daily event, estimate the change in the value of this portfolio.
Q1: 想问下这道题里面的“ 3 standard deviations” 是不是没什么用。
Q2: 然后想问下这道题用到了什么公式呢。
Q3: VaR的公式除了这个 VaR(bond) = D*P*VaR(change of y) 还有其他的吗。题目当中的4-sigma daily event在这个公式里面是代表哪一个呢。
