zoki
2019-06-22 11:52單選題 Consider the following bonds: The correlation between the two returns is 0.25. From a risk management perspective, what is the gain from diversification for a VaR estimated at the 95% level for the next 10 days? Assume there are 250 trading days in a year. 老師這道題整個(gè)都不明白，視頻解析講的不明白，最后求組合var為什么不是用網(wǎng)課講的組合求var的兩種方式呢？這又是什么方法？
所屬：FRM Part I 視頻位置 相關(guān)試題
來(lái)源： 視頻位置 相關(guān)試題
1個(gè)回答
Wendy助教
2019-06-24 16:23
該回答已被題主采納
趙同學(xué)你好，The correlation between the two returns is 0.25. From a risk management perspective, what is the gain from diversification for a VaR estimated at the 95% level for the next 10 days? 讓求得是分散化的VaR（也就是考慮相關(guān)性）和未分散化的VaR（沒(méi)有考慮相關(guān)性，即單個(gè)資產(chǎn)的VaR直接相加得出組合的VaR）的差額。
如同解析：
未分散化的VaR=0.4125+2.97
分散化的VaR是可以用課堂上的組合的VaR計(jì)算方法的，應(yīng)該是0.4135的平方+2.97的平方+2*0.25*0.4135*2.97.然后整體開(kāi)個(gè)根號(hào)，即可。算出來(lái)也是3.099
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