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&lt;估值与风险模型&gt;FRM一级每日练习题

发表时间: 2015-02-28 10:09:24 编辑:金程frm

&lt;估值与风险模型&gt;FRM一级每日练习题
<估值与风险模型>FRM一级每日练习题
A manager bought 1,000 call options on a non-dividend-paying stock, with a strike price of USD 100, for USD 6 each. The current stock price is USD 104 with a daily stock return volatility of 1.89%, and the delta of the option is 0.6. Given the delta-normal approach to calculate VaR, which of the choices below is an approximation of the 1-day 95% VaR of this position?

A. USD 112

B. USD 1,946

C. USD 3,243

D. USD 5,406

Answer: B

95% VaR1-day of the underlying = 104×1.65×1.89% = 3.24

95% VaR1-day of the option = 1000×0.6×3.24 = 1,946

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