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FRM二级精选题型解析:Super Hedge fund has $20 million

发表时间:2018-03-19 16:06
作者:FRM
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Super Hedge fund has $20 million in assets. The total return for the past 40 months is given below.

What is the monthly value at risk (VAR) of the portfolio at a 5 percent probability level?
 
Monthly Returns
-22.46% 9.26% -4.69% -20.66% -2.77% 1.17% -16.11% -6.73%
0.57% 12.56% -18.26% -32.81% 24.15% -34.26% -5.49% -19.76%
-34.75% -12.02% 32.74% -31.35% 13.68% -31.13% 7.07% -33.56%
-20.37% 30.27% 31.09% -3.26% -14.42% 4.75% 15.63% -11.57%
7.23% -20.77% -19.61% -2.42% -30.59% 28.83% -22.25% -10.26%

A) $6,852,000.

B) $7,200,000.

C) $9,000,000.

D) $16,725,000.


自己先做~

做完之后滑这儿,就能对答案





 


 
 

Sorted monthly returns (from low to high, in columns) are as follows:

-34.75% -31.35% -22.25% -19.61% -11.57% -4.69% 0.57% 6.35%
-34.26% -31.13% -20.77% -18.26% -10.26% -3.26% 0.95% 7.07%
-33.56% -30.59% -20.66% -16.11% -6.73% -2.83% 1.17% 7.23%
-33.16% -23.08% -20.37% -14.42% -6.37% -2.77% 1.58% 8.35%
-32.81% -22.46% -19.76% -12.02% -5.49% -2.42% 4.75% 9.26%

The 5% lowest return is the 2nd value (2/40 = 0.05), which is -34.26%% Therefore 5% VAR for the portfolio = 0.3426*$20,000,000 = $6,852,000

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报名、考试时间

2018年05月2018年11月
报名时间 第一阶段:2017.12.1~18.1.31
第二阶段:2018.02.01~02.28
第三阶段:2018.30.01~04.15
考试时间 2018年05月19日(周六)
成绩查询 2018年06月28日(周四)
报名时间2 第一阶段:2018.05.1~07.31
第二阶段:2018.08.01~08.31
第三阶段:2018.09.01~10.15
考试时间 2018年11月17日(周六)
成绩查询 2019年01月03日(周四)
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