题目
The VaR of a portfolio at 95% confidence level is 15.2. If the confidence level is raised to 99% (assuming a one-tailed normal distribution), the new value of VaR will be closest to:
选项
A.10.8
B.5.2
C.18.1
D.21.5
答案
D
解析
95% confidence level requires a volatility multiple (alpha) of 1.65, while 99% confidence level requires a multiple of 2.33. Since VaR is directly proportional to this multiple, VaR(1%)=VaR(5%)×2.33/1.65=21.5.VaR(1%)=VaR(5%)×2.33/1.65=21.595％的置信度需要1.65的波动倍数（alpha），而99％的置信度则需要2.33的倍数。 由于VaR与该倍数成正比。