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良爱洳 · 2021年11月11日

问一道题:NO.PZ2018122701000049 [ FRM II ]

问题如下:

A portfolio consists of options on Microsoft and AT&T. The options on Microsoft have a delta of 1000, and the options on AT&T have a delta of 20000. The Microsoft share price is $120, and the AT&T share price is $30. Assuming that the daily volatility of Microsoft is 2% and the daily volatility of AT&T is 1% and the correlation between the daily changes is 0.3, the 5-day 95% VaR is

选项:

A.

26193

B.

25193

C.

27193

D.

24193

解释:

A is correct.

考点:Mapping to Option Position

解析:VaRMic= 1.65 × 2% × 120 × 1000 = 3960

VaRAT&T= 1.65 × 1% × 30 × 20000=9900

VARP(5day,95%)=39602+99002+2×0.3×3960×9900×5=26193VAR_{P(5-day,95\%)}=\sqrt{3960^2+9900^2+2\times0.3\times3960\times9900}\times\sqrt5=26193

这里计算时不需要考虑平均值(miu)吗
1 个答案

品职答疑小助手雍 · 2021年11月12日

同学你好,这种题只要题目没有给收益率就可以忽略μ。

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