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jmh530

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tT
发表于 2013-4-10 23:46 | 只看该作者

Risk Mgmt - Reading 39 EOCQ

opposite, reading, however, return
Hi all
Under reading 39, Question 23. I thought the answer is C, however it turns out to be B.
If VAR = [Rp - (z)(Standard Deviation)]Value
Then wouldn’t:
increasing return = increasing VAR, and
increasing st.dev = decreasing VAR
???
The book says it is the opposite, clearly i am missing somthing. Please help me out!

 

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grharmeyer

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发表于 2013-4-10 23:47 | 只看该作者
var is a measure of loss. assuming all calculated at 5% Var
if return = 10%, std dev = 15%, Var = -14.74
if return = 20%, std dev = 15%, Var = -4.74 (little loss)
hence, if return increases all else equal, var decreases
if return = 10%, std dev = 15%, Var = -14.74
if return = 10%, std dev = 20%, Var = -23 (more loss)
therefore, if std dev increases, var increases

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Elliotbay

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发表于 2013-4-10 23:47 | 只看该作者
^ this is a good example. i think what tripped you up was the fact that the # winds up to be negative. if they were positive #’s then the formula would be a head scratcher, but they’re negative… book is right, l3aspirant is right.

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ajpheif16

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发表于 2013-4-10 23:47 | 只看该作者
OK thanks for your help guys

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