2023年全國(guó)碩士研究生考試考研英語(yǔ)一試題真題(含答案詳解+作文范文)_第1頁(yè)
已閱讀1頁(yè),還剩7頁(yè)未讀, 繼續(xù)免費(fèi)閱讀

下載本文檔

版權(quán)說(shuō)明:本文檔由用戶提供并上傳,收益歸屬內(nèi)容提供方,若內(nèi)容存在侵權(quán),請(qǐng)進(jìn)行舉報(bào)或認(rèn)領(lǐng)

文檔簡(jiǎn)介

1、CHAPTER22ValueatRiskPracticeQuestionsProblem22.1.Considerapositionconsistingofa$100000investmentinassetAa$100000investmentinassetB.Assumethatthedailyvolatilitiesofbothassetsare1%thatthecoefficientofcrelationbetweentheirr

2、eturnsis0.3.Whatisthe5day99%VaRftheptfolioThestarddeviationofthedailychangeintheinvestmentineachassetis$1000.Thevarianceoftheptfolio’sdailychangeis2210001000203100010002600000?????????????Thestarddeviationoftheptfolio’sd

3、ailychangeisthesquarerootofthis$1612.45.Thestarddeviationofthe5daychangeis1612455$360555??????BecauseN1(0.01)=2.3261%ofanmaldistributionliesmethan2.326starddeviationsbelowthemean.The5day99percentvalueatriskistherefe2.326

4、3605.55=$8388.Problem22.2.DescribethreewaysofhlinginterestratedependentinstrumentswhenthemodelbuildingapproachisusedtocalculateVaR.HowwouldyouhleinterestratedependentinstrumentswhenhisticalsimulationisusedtocalculateVaRT

5、hethreealternativeproceduresmentionedinthechapterfhlinginterestrateswhenthemodelbuildingapproachisusedtocalculateVaRinvolve(a)theuseofthedurationmodel(b)theuseofcashflowmapping(c)theuseofprincipalcomponentsanalysis.Whenh

6、isticalsimulationisusedweneedtoassumethatthechangeinthezerocouponyieldcurvebetweenDaymDay1m?isthesameasthatbetweenDayiDay1i?fdifferentvaluesofi.InthecaseofaLIBthezerocurveisusuallycalculatedfromdepositratesEurodollarfutu

7、resquotesswaprates.WecanassumethatthepercentagechangeineachofthesebetweenDaymDay1m?isthesameasthatbetweenDayiDay1i?.InthecaseofaTreasurycurveitisusuallycalculatedfromtheyieldsonTreasuryinstruments.Againwecanassumethatthe

8、percentagechangeineachofthesebetweenDaymDay1m?isthesameasthatbetweenDayiDay1i?.Problem22.3.AfinancialinstitutionownsaptfolioofoptionsontheU.S.dollar–sterlingexchangerate.Thedeltaoftheptfoliois56.0.Thecurrentexchangeratei

9、s1.5000.Deriveanapproximatelinearrelationshipbetweenthechangeintheptfoliovaluethepercentagechangeintheexchangerate.Ifthedailyvolatilityoftheexchangerateis0.7%estimatethe10day99%VaR.Theapproximaterelationshipbetweenthedai

10、lychangeintheptfoliovalueP?thedailychangeintheexchangerateS?is56PS???Whenafinalexchangeofprincipalisaddedinthefloatingsideisequivalentazerocouponbondwithamaturitydateequaltothedateofthenextpayment.Thefixedsideisacouponbe

11、aringbondwhichisequivalenttoaptfolioofzerocouponbonds.Theswapcantherefebemappedintoaptfolioofzerocouponbondswithmaturitydatescrespondingtothepaymentdates.Eachofthezerocouponbondscanthenbemappedintopositionsintheadjacents

12、tardmaturityzerocouponbonds.Problem22.8.ExplainthedifferencebetweenValueatRiskExpectedShtfall.Valueatriskisthelossthatisexpectedtobeexceeded(100)X%?ofthetimeinNdaysfspecifiedparametervaluesXN.Expectedshtfallistheexpected

13、lossconditionalthatthelossisgreaterthantheValueatRisk.Problem22.9.ExplainwhythelinearmodelcanprovideonlyapproximateestimatesofVaRfaptfoliocontainingoptions.Thechangeinthevalueofanoptionisnotlinearlyrelatedtothechangeinth

14、evalueoftheunderlyingvariables.Whenthechangeinthevaluesofunderlyingvariablesisnmalthechangeinthevalueoftheoptionisnonnmal.Thelinearmodelassumesthatitisnmalistherefeonlyanapproximation.Problem22.10.Sometimeagoacompanyhase

15、nteredintoafwardcontracttobuy£1millionf$1.5million.Thecontractnowhassixmonthstomaturity.Thedailyvolatilityofasixmonthzerocouponsterlingbond(whenitspriceistranslatedtodollars)is0.06%thedailyvolatilityofasixmonthzerocoupon

16、dollarbondis0.05%.Thecrelationbetweenreturnsfromthetwobondsis0.8.Thecurrentexchangerateis1.53.Calculatethestarddeviationofthechangeinthedollarvalueofthefwardcontractinoneday.Whatisthe10day99%VaRAssumethatthesixmonthinter

17、estrateinbothsterlingdollarsis5%perannumwithcontinuouscompounding.Thecontractisalongpositioninasterlingbondcombinedwithashtpositioninadollarbond.Thevalueofthesterlingbondis00505153e?????$1.492million.Thevalueofthedollarb

18、ondis0050515e?????$1.463million.Thevarianceofthechangeinthevalueofthecontractinonedayis2222149200006146300005208149200006146300005??????????????????0000000288??Thestarddeviationistherefe$0.000537million.The10day99%VaRis0

溫馨提示

  • 1. 本站所有資源如無(wú)特殊說(shuō)明,都需要本地電腦安裝OFFICE2007和PDF閱讀器。圖紙軟件為CAD,CAXA,PROE,UG,SolidWorks等.壓縮文件請(qǐng)下載最新的WinRAR軟件解壓。
  • 2. 本站的文檔不包含任何第三方提供的附件圖紙等,如果需要附件,請(qǐng)聯(lián)系上傳者。文件的所有權(quán)益歸上傳用戶所有。
  • 3. 本站RAR壓縮包中若帶圖紙,網(wǎng)頁(yè)內(nèi)容里面會(huì)有圖紙預(yù)覽,若沒(méi)有圖紙預(yù)覽就沒(méi)有圖紙。
  • 4. 未經(jīng)權(quán)益所有人同意不得將文件中的內(nèi)容挪作商業(yè)或盈利用途。
  • 5. 眾賞文庫(kù)僅提供信息存儲(chǔ)空間,僅對(duì)用戶上傳內(nèi)容的表現(xiàn)方式做保護(hù)處理,對(duì)用戶上傳分享的文檔內(nèi)容本身不做任何修改或編輯,并不能對(duì)任何下載內(nèi)容負(fù)責(zé)。
  • 6. 下載文件中如有侵權(quán)或不適當(dāng)內(nèi)容,請(qǐng)與我們聯(lián)系,我們立即糾正。
  • 7. 本站不保證下載資源的準(zhǔn)確性、安全性和完整性, 同時(shí)也不承擔(dān)用戶因使用這些下載資源對(duì)自己和他人造成任何形式的傷害或損失。

評(píng)論

0/150

提交評(píng)論