張同學
2018-10-08 10:36Consider the following single stock portfolio: Stock ABC has a market position of $200,000 and an annualized volatility of 30%. Calculate the linear VaR with 99% confidence level for a 10 business day holding period. Assume normal distribution and round to the nearest dollar. A、$11,952 B、$27,849 C、$60,000 D、$88,066 答案:B 老師,答案公式中有一個數(shù) 252,這是怎么算出來的
所屬:FRM Part I 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
2018-10-08 11:41
該回答已被題主采納
同學你好,假設一年有252天,因為算的是10天的VaR,所以題目是先把年化的波動率轉化成1天的,除以252^0.5,再轉化成10天的,乘以10^0.5,
