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【风险管理与投资管理】FRM二级每日一题

发表时间: 2018-01-03 11:52:27 编辑:金程frm

【风险管理与投资管理】FRM二级每日一题

【风险管理与投资管理】FRM二级每日一题

A risk manager is evaluating 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?

  • USD 0 million
  • USD 75 million
  • USD 160 million
  • USD 225 million

Answer: B

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