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FRM一級(jí):風(fēng)險(xiǎn)管理基礎(chǔ)&定量分析

發(fā)布時(shí)間:2015-05-06 16:47    來源:高頓網(wǎng)校 我要發(fā)言   [字號(hào): ]

正文  
        A risk manager is *uating a pairs trading strategy recently initiated by one of the firm’s traders. The strategy involves establishing a long position in Stock A and a short position in Stock B. The following information is also provided:
 
      1-day 99% VaR of Stock A is USD 100 million
 
   1-day 99% VaR of Stock B is USD 125 million
 
   The estimated correlation between long positions in Stock A and Stock B is 0.8
 
  Assuming that the returns of Stock A and Stock B are jointly normally distributed, the 1-day 99% VaR of the combined positions is closest to?
 
  A.     USD 0 million
 
  B.     USD 75 million
 
  C.     USD 160 million
 
  D.     USD 225 million
 
  Answer: B

 
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