備考FRM考試中,做大量的練習(xí)題對于考生來說是很重要的,下文是對VAR的例題解析,一起隨融躍小編了解一下!希望對備考的你有所幫助!

On December 31, 2006, PortfolioAhad a market value of $2,520,000. The historical standard deviation of daily returns was 1.7%. Assuming that Portfolio A is normally distributed, calculate the daily VAR(2.5%) on a dollar basis and state its interpretation. Daily VAR(2.5%) is equal to:

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A) $83,966, implying that daily portfolio losses will fall short of this amount 2.5% of the time.

B) $70,686, implying that daily portfolio losses will only exceed this amount 2.5% of the time.

C) $83,966, implying that daily portfolio losses will only exceed this amount 2.5% of the time.

D) $70,686, implying that daily portfolio losses will fall short of this amount 2.5% of the time.

答案:C

解析:VAR(2.5%)Percentage Basis = z2.5% × σ = 1.96(0.017) = 0.03332 = 3.332%.

VAR(2.5%)Dollar Basis = VAR(2.5%)Percentage Basis × portfolio value = 0.03332 ×$2,520,000= $83,966.

The appropriate interpretation is that on any given day, there is a 2.5% chance that the portfolio will experience a loss greater than $83,996.Alternatively, we can state that there is a 97.5% chance that on any given day, the observed loss will be less than $83,996.

2006年12月31日,投資組合的市值為2520000美元。日收益率的歷史標(biāo)準(zhǔn)差為1.7%。假設(shè)投資組合A為正態(tài)分布,以美元為基礎(chǔ)計(jì)算每日VAR(2.5%),并說明其解釋。日VAR(2.5%)等于:》》》點(diǎn)我咨詢FRM職業(yè)發(fā)展前景

A) 83966美元,意味著每日投資組合損失將低于這一數(shù)額的2.5%。

B) 70686美元,意味著每天的投資組合損失只會超過這個(gè)數(shù)額的2.5%。

C) 83966美元,意味著每天的投資組合損失只會超過這一數(shù)額的2.5%。

D) 70686美元,意味著每日投資組合損失將低于這一數(shù)額的2.5%。

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答案解析:

VAR(2.5%)百分比基礎(chǔ)=z2.5%×σ=1.96(0.017)=0.03332=3.332%。

VAR(2.5%)美元基礎(chǔ)=VAR(2.5%)百分比基礎(chǔ)×投資組合價(jià)值=0.03332×2520000美元=83966美元。

適當(dāng)?shù)慕忉屖?,在任何一天,投資組合遭受損失的概率為2.5%,大于83996美元。或者,我們可以說,在任何一天,觀察到的損失小于83996美元的概率為97.5%。

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