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滴滴姐姐~ · 2021年08月30日

delta normal是哪里讲的0.0

  1. FRM II
  2. Market Risk Measurement And Management

NO.PZ2016070202000017

问题如下：

Which of the following is most accurate with respect to delta-normal VAR?

选项：

A.

The delta-normal method provides accurate estimates of VAR for assets that can be expressed as a linear or nonlinear combination of normally distributed risk factors.

B.

The delta-normal method provides accurate estimates of VAR for options that are near or at-the-money and close to expiration.

C.

The delta-normal method provides estimates of VAR by generating a covariance matrix and measuring VAR using relatively simple matrix multiplication.

D.

The delta-normal method provides accurate estimates of VAR for options and other derivatives over ranges even if deltas are unstable.

解释：

The delta-normal approach will perform poorly with nonlinear payoffs, so answer A is false. Similarly, the approach will fail to measure risk properly for options if the delta changes, which is the case for at-the-money options, so answers B and D are false.

我刚刚听完基础课诶

感觉parametric approach只讲了normal和lognormal VaR诶


甚至怀疑自己的耳朵是不是聋了hhh 看了一眼基础班讲义 确实没讲呀


能不能详细说说这个delta normal hhh


看了其他小伙伴的答疑 甚至没有看懂hhh


提前比个心~

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已采纳答案

李坏_品职助教 · 2021年08月31日

嗨，努力学习的PZer你好：


其实方差也是一种特殊的covariance，你想想，如果cov(x,x)，求X和它自己的协方差，公式是不是和方差完全一样呢？


这里说covariance matrix，实际上指的是对于资产组合而言。如果组合里有很多个不同的资产，我们需要先求出这个组合的cov matrix，然后再用delta-normal的公式去计算组合的var。 如果只是一种资产的话，那就不需要matrix啦

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就算太阳没有迎着我们而来，我们正在朝着它而去，加油！

李坏_品职助教 · 2021年08月31日

嗨，努力学习的PZer你好：


delta-normal var和normal var只是叫法不同，其实完全是一样的内容~


delta-normal（或者叫normal method）都是假设收益率服从正态分布的情况下，用公式直接计算出资产的VaR。基础班讲义里面的normal method就是delta-normal ~


delta-normal的方法计算var，只适合于线性linear的payoff，所以A是错的。B项里的期权是atm，期权的delta容易变化，所以算出来的var很不精确，B项错误。同理，期权的delta如果不稳定的话，C项也是错的。

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就算太阳没有迎着我们而来，我们正在朝着它而去，加油！

滴滴姐姐~ · 2021年08月31日

soga！那这样我ABD明白了~ The delta-normal method provides estimates of VAR by generating a covariance matrix and measuring VAR using relatively simple matrix multiplication. C选项为什么对呢？Normal VAR不就是 假设收益率服从正态分布的情况下，用公式直接计算出资产的VaR 吗(均值-z*方差)？咋还用到covariance matrix了呢？方差不是variance咩~ 谢谢谢谢~~

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