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2015【操作风险管理与测量】FRM二级每日一题

发表时间: 2015-03-02 10:18:51 编辑:金程frm

2015【操作风险管理与测量】FRM二级每日一题
2015【操作风险管理与测量】FRM二级每日一题
A portfolio includes a position of $1 million invested in DEF shares. The price volatility of the shares over one week is 0.5%. The bid-ask spread is a constant 0.6%. What is the 1-week liquidity adjusted VAR (LVAR) for this position at the 95% confidence level?
  1. $1,000.
  2. $5,250.
  3. $8,000.
  4. $11,250.

Answer: D

LVAR = ($1,000,000×1.65×0.005) + 0.5 ($1,000,000×0.006) = $11,250.

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