【風(fēng)險(xiǎn)管理與投資管理】FRM二級每日一題
A risk manager is evaluating a pairs trading strategy recently initiated by one of the firm’s traders. The strategy involves establishing a long position in Stock A and a short position in Stock B. The following information is also provided:
- 1-day 99% VaR of Stock A is USD 100 million
- 1-day 99% VaR of Stock B is USD 125 million
- The estimated correlation between long positions in Stock A and Stock B is 0.8
Assuming that the returns of Stock A and Stock B are jointly normally distributed, the 1-day 99% VaR of the combined positions is closest to?
- USD 0 million
- USD 75 million
- USD 160 million
- USD 225 million
Answer: B
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