zoki2019-06-22 11:52:50
zoki单选题 Consider the following bonds: The correlation between the two returns is 0.25. From a risk management perspective, what is the gain from diversification for a VaR estimated at the 95% level for the next 10 days? Assume there are 250 trading days in a year. 老师这道题整个都不明白，视频解析讲的不明白，最后求组合var为什么不是用网课讲的组合求var的两种方式呢？这又是什么方法？
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Wendy2019-06-24 16:23:35
Wendy赵同学你好，The correlation between the two returns is 0.25. From a risk management perspective, what is the gain from diversification for a VaR estimated at the 95% level for the next 10 days? 让求得是分散化的VaR（也就是考虑相关性）和未分散化的VaR（没有考虑相关性，即单个资产的VaR直接相加得出组合的VaR）的差额。
如同解析：
未分散化的VaR=0.4125+2.97
分散化的VaR是可以用课堂上的组合的VaR计算方法的，应该是0.4135的平方+2.97的平方+2*0.25*0.4135*2.97.然后整体开个根号，即可。算出来也是3.099
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