Iris
2019-04-21 21:56The owner of USD 200 million portfolio wants to estimate 1-d 99% liquidity adjusted VaR using the random spread approach. The portfolio daily mean return is zero with daily volatility of 1.4%. The bid-ask spread on the portfolio has a daily mean of 0.1% and standard deviation of 0.2%. If the confidence parameter of the spread is equal to 3,what is the daily liquidity cost adjustment that should be added to VaR? key: 0.7million 我算出來和答案不一樣，請老師解釋下
所屬：FRM Part II 視頻位置 相關試題
來源： 視頻位置 相關試題
1個回答
Cindy助教
2019-04-22 16:35
該回答已被題主采納
同學你好，請看下圖
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