← 返回数学题库
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?

解题计时

0:00

提交作答时记录,用于后续平均用时统计。

你的答案