题目
An analyst at Bergman International Bank has been asked to explain the calculation of VaR for linear derivatives to the newly hired junior analysts. Which of the following statements best describes the calculation of VaR for a linear derivative on the S&P 500 Index?
选项
A.For a futures contract, multiply the VaR of the S&P 500 Index by a sensitivity factor reflecting the percent change in the value of the futures contract for a 1% change in the index value.
B.For an options contract, multiply the VaR of the S&P 500 Index by a sensitivity factor reflecting the percent change in the value of the futures contract for a 1% change in the index value.
C.For a futures contract, divide the VaR of the S&P 500 Index by a sensitivity factor reflecting the absolute change in the value of the futures contract per absolute change in the index value.
D.For an options contract, divide the VaR of the S&P 500 Index by a sensitivity factor reflecting the percent change in the value of the futures contract for a 1% change in the index value.
答案
A
解析
The following formula is used to calculate the VaR for a linear derivative:VaRp = ΔVaRfThe delta in the formula is a sensitivity factor that reflects the change in value of the derivatives contract for a given change in the value of the underlying. The delta adjustment to the VaR of the underlying asset accounts for the fact that the relative changes in value between the underlying and the derivatives may not be one for one but nevertheless are linear in nature. Note that options are non-linear.VaRp =ΔVaRf公式中的增量是一个敏感度因子，反映了基础合约价值发生给定变化时衍生工具合约价值的变化。 对基础资产的VaR进行的增量调整是由于以下事实：基础资产与衍生工具之间的价值相对变化可能不是一对一的，但本质上是线性的。 请注意，期权是非线性的。