FRM二级模拟真题精选:Lognormal distribution assumption

时间:2017-11-06 15:39 作者:FRM考试网 来源:原创

The annual mean and volatility of a portfolio are 12%and 30%,respectively.The current value of the portfolio is GBP 2,500,000.How does the 1-year 95%VaR that is calculated using a normal distribution assumption(normal VaR)compare with the 1-year 95%VaR that is calculated using the lognormal distribution assumption(lognormal VaR)?
 
A.Lognormal VaR is greater than normal VaR by GBP 487,050
 
B.Lognormal VaR is greater than normal VaR by GBP 787,050
 
C.Lognormal VaR is less than normal VaR by GBP 487,050
 
D.Lognormal VaR is less than normal VaR by GBP 787,050

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