Iris2019-04-21 21:56:40

The owner of USD 200 million portfolio wants to estimate 1-d 99% liquidity adjusted VaR using the random spread approach. The portfolio daily mean return is zero with daily volatility of 1.4%. The bid-ask spread on the portfolio has a daily mean of 0.1% and standard deviation of 0.2%. If the confidence parameter of the spread is equal to 3,what is the daily liquidity cost adjustment that should be added to VaR? key: 0.7million 我算出来和答案不一样，请老师解释下