蛋同學(xué)
2023-07-13 23:15A portfolio manager owns a portfolio of options on a non-dividend paying stock RTX. The portfolio is made up of 10,000 deep in-the-money call options on RTX and 50,000 deep out-of-the money call options on RTX. The portfolio also contains 20,000 forward contracts on RTX. RTX is trading at USD 100. If the volatility of RTX is 30% per year, which of the following amounts would be closest to the 1-day VaR of the portfolio at the 95 percent confidence level, assuming 252 trading days in a year?標(biāo)的資產(chǎn)的VaR值如何計算？
所屬：FRM Part II > Market Risk Measurement and Management 視頻位置 相關(guān)試題
來源： 視頻位置 相關(guān)試題
1個回答
Will助教
2023-07-14 11:13
該回答已被題主采納
同學(xué)你好，這題其實想讓我們求的是Delta normal VAR。
根據(jù)公式|Δ|*VaR
首先要求delta,10000ITM call option delta=10000, 50000OTM call option delta=0, 20000 forward delta=20000。
因此組合總delta=10000+20000=30000。
再算標(biāo)的VAR(1-year)=Z*σ*P=1.645*30%*100=49.35，轉(zhuǎn)化成一天的VaR=3.108758
|Δ|*VaR=3.108758*30000=93262.73
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