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【FRM每日一题】一级:估值与风险模型

发表时间:2015/8/13 13:30:12 编辑: 告诉小伙伴:
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[编考按]【FRM每日一题】一级:估值与风险模型?A manager bought 1,000 call options on a non-dividend-paying stock, with a strike price of USD 100, for USD 6 each. The current stock price is USD 104 with a daily stock return volatility of ...

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        A manager bought 1,000 call options on a non-dividend-paying stock, with a strike price of USD 100, for USD 6 each. The current stock price is USD 104 with a daily stock return volatility of 1.89%, and the delta of the option is 0.6. Given the delta-normal approach to calculate VaR, which of the choices below is an approximation of the 1-day 95% VaR of this position?

        A.USD 112

        B.USD 1,946

        C.USD 3,243

        D.USD 5,406

        Answer: B

        95% VaR1-day of the underlying = 104×1.65×1.89% = 3.24

        95% VaR1-day of the option = 1000×0.6×3.24 = 1,946
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