时间:2018-02-09 16:20 作者:FRM 来源:FRM
Consider a 1,000 share position in an undervalued butt illiquid stick FGB, which has a current stock price of EUR 45 (expressed as the midpoint of the current bid-ask spread)。
The daily return for FGB has an estimated volatility of 0。30%。 the average bid-ask spread is EUR 0。15。
assuming the returns of FGB are normally distributed, what is the estimated liquidity-adjusted,1-day 95% VaR, using the constant spread approach?
A。 EUR 260
B。 EUR 297
C。 EUR 372
D。 EUR 390
Answer: B
Explanation: The constant spread approach adds half of the bid-ask spread ( as a percent ) to the VaR calculation:
Daily 95% VaR =45,000*(1.645*0.0030)=EUR 222.08
Liquidity cost =45,000*(0.5*0.15/45)=75 LVaR = VaR + LC=297.08
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