5325金融与交易简单数值题short
Four-Day VaR With Positive Carry
题目
A linear book has zero-mean 1-day 95% delta-normal VaR of 14.805 million. Starting tomorrow, the desk expects positive carry of 1.2 million per day, and risk reports assume mean scales linearly while volatility scales with sqrt(time). Using z_0.95=1.645, what 4-day VaR should be reported?
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