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)：大 中 小]
| 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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| 導(dǎo)航大圖 | |
| 責(zé)任編輯 | |
| 導(dǎo)語 | |
| 大標(biāo)題 | |
| 標(biāo)題一 | |
| 標(biāo)題二 | |
| 標(biāo)題三 | |
| 標(biāo)題四 |
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