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NO.PZ201702190100000205问题如下 Using the ta in Exhibit 2, the portfolio's annu1% parametric Vis closest to: A.C17 million.B.C31 million.C.C48 million.B is correct.The Vis rivefollows:V= [(E(Rp) - 2.33ap)(-1)](Portfolio value)whereE(Rp) = Annualizeily return = (0.00026 x 250) = 0.065250 = Number of trang ys annually2.33 = Number of stanrviations to attain 1% VaRσp = Annualizestanrviation =(0.00501∗250)=0.079215(0.00501\ast\sqrt{250})=0.079215(0.00501∗250)=0.079215Portfolio value = C260,000,000V= -(0.065 - 0.184571) x C260,000,000 =CA1,088,460考点VaR的计算解析注意正文表格中给的数据的时间单位是ily，而题干求的时间单位是annual，所以首先要对数据进行年化。默认一年有250个交易日。然后年化后的数据代入(Zσ-u)*portfolio value。如题，提干并没有说1%是单尾

2024-08-09 08:12 1 · 回答

C31 million. C48 million. B is correct. The Vis rivefollows: V= [(E(Rp) - 2.33ap)(-1)](Portfolio value) where E(Rp) = Annualizeily return = (0.00026 x 250) = 0.065 250 = Number of trang ys annually 2.33 = Number of stanrviations to attain 1% Vσp = Annualizestanrviation = (0.00501∗250)=0.079215(0.00501\ast\sqrt{250})=0.079215(0.00501∗250 )=0.079215 Portfolio value = C260,000,000 V= -(0.065 - 0.184571) x C260,000,000 =CA1,088,460 考点VaR的计算解析注意正文表格中给的数据的时间单位是ily，而题干求的时间单位是annual，所以首先要对数据进行年化。默认一年有250个交易日。然后年化后的数据代入(Zσ-u)*portfolio value。请问2.33是查表得出的吗？

2020-12-03 15:45 2 · 回答

怎么看出来是ily的？题中也没说是要求anual啊

2020-09-12 17:43 1 · 回答

解答里面有一张图显示不出来

2019-12-25 11:37 1 · 回答

daily很牵强啊

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