题目
Assume that portfolio daily returns are independent and identically normally distributed. Sam Neil, a new quantitative analyst, has been asked by the portfolio manager to calculate portfolio VaRs over 10, 15, 20, and 25 days. The portfolio manager notices something miss with Sam's calcula?tions, displayed here. Which one of the following VaRs on this portfolio is inconsistent with the others?
选项
A.VaR(10-day)=USD 316M
B.VaR(15-day)=USD 465M
C.VaR(20-day)=USD 537M
D.VaR(25-day)=USD 600M
答案
A
解析
We compute the daily VaR by dividing each VaR by the square root of time. This gives 316/√10=100, then 120, 120, and 120. So, answer A is out of line.我们通过将每个VaR除以时间的平方根来计算每日VaR。 这样得出316/√10=100, ，然后是120、120和120。因此，答案A不一致。