Weekly VAR = .207692-[1.65*1.693142] = -2.58676/100*100000000 = -2586765
NO EXCUSES作者: liangfeng 时间: 2011-7-11 19:29
They could have added one more bit of complexity to the problem by adding
- the UK bond returns and risk measures are in "local currency".
- and they give you the correlation between the UK asset returns with the exchange rate (0.3) and return on the US/UK exchange rate (-1.5%)
nice practice example, thx作者: lcai 时间: 2011-7-11 19:29
yodhava Wrote:
-------------------------------------------------------
> They could have added one more bit of complexity
> to the problem by adding
>
> - the UK bond returns and risk measures are in
> "local currency".
> - and they give you the correlation between the UK
> asset returns with the exchange rate (0.3) and
> return on the US/UK exchange rate (-1.5%)
>
> nice practice example, thx
It would be the standard deviation of exchange rates, not the return correct?作者: ohai 时间: 2011-7-11 19:29
Paraguay Wrote:
-------------------------------------------------------
> yodhava Wrote:
> --------------------------------------------------
> -----
> > They could have added one more bit of
> complexity
> > to the problem by adding
> >
> > - the UK bond returns and risk measures are in
> > "local currency".
> > - and they give you the correlation between the
> UK
> > asset returns with the exchange rate (0.3) and
> > return on the US/UK exchange rate (-1.5%)
> >
> > nice practice example, thx
>
>
> It would be the standard deviation of exchange
> rates, not the return correct?
Yeah Paraguay, they would also need to give you the standard deviation of exchange rate return over that period.
But you also need the exchange rate return so that you can calc the UK bonds return in US currency.
UK Bond Return (in usd) = UK Bond return (local) + s ( USD/UK return)
UK Bond Risk (in usd) = SQRT ( UK Bond local ^2 + s^2 + 2*UK-L*s*Corr(UK-L,s) )
Right?作者: cityboy 时间: 2011-7-11 19:29
yodhava Wrote:
-------------------------------------------------------
> Paraguay Wrote:
> --------------------------------------------------
> -----
> > yodhava Wrote:
> >
> --------------------------------------------------
>
> > -----
> > > They could have added one more bit of
> > complexity
> > > to the problem by adding
> > >
> > > - the UK bond returns and risk measures are
> in
> > > "local currency".
> > > - and they give you the correlation between
> the
> > UK
> > > asset returns with the exchange rate (0.3)
> and
> > > return on the US/UK exchange rate (-1.5%)
> > >
> > > nice practice example, thx
> >
> >
> > It would be the standard deviation of exchange
> > rates, not the return correct?
>
> Yeah Paraguay, they would also need to give you
> the standard deviation of exchange rate return
> over that period.
> But you also need the exchange rate return so that
> you can calc the UK bonds return in US currency.
>
> UK Bond Return (in usd) = UK Bond return (local)
> + s ( USD/UK return)
>
> UK Bond Risk (in usd) = SQRT ( UK Bond local ^2
> + s^2 + 2*UK-L*s*Corr(UK-L,s) )
>
> Right?
Yeah you would need all of them. This test is not passable.作者: mp3bu 时间: 2011-7-11 19:29
Come on Paraguay, of all the folks in this board, you probably would be in the Top 10% band who passed.. if CFA were to ever give such stats. relax. examples like this with so much mechanical calc is not CFA's modus operandi作者: Windjammer 时间: 2011-7-11 19:29
That's why we got a computer...AF isn't hosted on 12C.
