题目
John Flag, the manager of a USD 150 million distressed bond portfolio, conducts stress tests on the portfolio. The portfolio’s annualized return is 12%, with an annualized return volatility of 25%. In the last two years, the portfolio encountered several days when the daily value change of the portfolio was more than 3 standard deviations. If the portfolio suffered a 4-sigma daily event, which of the following is the best estimate of the change in the value of this portfolio? Assume that there are 250 trading days in a year.
选项
A.USD 9.48 million
B.USD 23.70 million
C.USD 37.50 million
D.USD 150 million
答案
A
解析
「huixue_img/importSubject/1564170388487933952.png」
A 4-sigma event therefore implies a loss equal to:4×0.0158×150=9.48 million.