2015【操作風(fēng)險(xiǎn)管理與測(cè)量】FRM二級(jí)每日一題
A portfolio includes a position of $1 million invested in DEF shares. The price volatility of the shares over one week is 0.5%. The bid-ask spread is a constant 0.6%. What is the 1-week liquidity adjusted VAR (LVAR) for this position at the 95% confidence level?
- $1,000.
- $5,250.
- $8,000.
- $11,250.
Answer: D
LVAR = ($1,000,000×1.65×0.005) + 0.5 ($1,000,000×0.006) = $11,250.
