[2008]Topic 74: Portfolio Risk: Analytical Methods 相关习题 individual, following, position, entire, return

wanganjie

 

AIM 1: Define individual VAR, marginal VAR, incremental VAR and diversified portfolio VAR.

1、After regressing the return of a position in the portfolio on the return of the entire portfolio, the slope coefficient (beta) can be used in the marginal VAR formula. Which of the following is the best representation of that formula? Marginal VAR equals:

A)  [attach]13943[/attach]

 

 

B)  [attach]13944[/attach]

 

 

C)  [attach]13945[/attach]

 

 

D)  [attach]13946[/attach]

 

[此贴子已经被作者于2009-7-2 10:16:09编辑过]

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neda

好帖子，顶一个

binsi

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谢谢楼主的分享

wanganjie

 

The correct answer is A

Marginal VAR is an approximation of the changes in the VAR of the portfolio, in response to the addition of one unit (dollar) of a security, and is based on a linear relationship. Like duration, this linear relationship is only accurate for small additions. Incremental VAR computes the actual changes in portfolio VAR for any size additions to the portfolio. Incremental VAR involves the calculation of an entirely new VAR for the portfolio and is used when the changes in VAR cannot be described by a linear function.

wanganjie

 

2、A manager is considering adding a new position to a portfolio. The size of the position will be 1% of the portfolio. The manager computes the derivative of the portfolio’s VaR with respect to the change in the weight of the position. Multiplying the value of the derivative times 1% will yield:

A) marginal VaR.

B) incremental VaR.

C) component VaR. 

D) Monte Carlo VaR.

wanganjie

 

The correct answer is B

Incremental VaR, or IVaRi, is an estimate of the amount of risk a proposed new position in fund i will add to the total VaR of an existing portfolio.

wanganjie

 

3、The difference between marginal value at risk (MVAR) and incremental value at risk (IVAR) is that:

A) Incremental VAR computes actual changes in VAR for any additions of securities.

B) Incremental VAR only captures changes over small increments.

C) Marginal VAR captures non-linear changes in the portfolio.

D) Marginal VAR only captures changes over large increments.

wanganjie

 

AIM 4: Compute incremental VAR, explain why calculating incremental VAR may be difficult, and give a useful approximation.

1、A portfolio consists of assets A and B. The volatilities are 10% and 20%, respectively. There are $10 million and $5 million invested in them, respectively. If we assume they are uncorrelated with each other, the VAR of the portfolio using Z = 1.65 would be closest to:

A) $2.475 million. 

B) $1.750 million. 

C) $3.500 million.

D) $2.333 million.