caramelhan2019-01-25 09:09:34

Bond Yield Maturity 年化Standard Deviation Exposure(million) A 5% 2 5% USD 25.00 B 3% 13 12% USD 75.00 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. 计算过程没问题，但没明白为什么在算分散化VaR时，前面都是按单位1million统一的，而算这个时根号里的25M 75M却变成了0.25 0.75 按W的单位来算？那这样计算前后单位不统一怎么可以比大小呢？ 谢谢。