关于用Vega Delta 来估算VaR的一道题目

各位大大好，我在海外读书，碰到了一道挺有意思的题目，需要预测portfolio的1 day VaR99%，题目给出的信息很少只有一个 portfolio：shorting $1000 of one month Vega. 这个题目是个估算题，所以可以自己设assumption。不知道大家能否帮个忙？

I have come across an estimation question regarding estimating the 1 day 99% VaR for various positions. For these questions, I am allowed to make assumptions.
Say I'm shorting $1000 of one-month Vega, what would be my 99% VaR? what is a reasonable way to estimate? My thoughts were:

The cash vega of position is $1000, the assumed volatility is 1% ( is this a reasonable assumption) and the Z(99%) = 2.33. Therefore the VaR99% = 2.33 *1%*1000 = 23.3.

Is this the right way to estimate?

Question 2:
And also if I'm shorting $1000 cash delta, in order to estimate 1 day VaR 99%, is it right to do this way?
Assume daily volatility of 1%, and assume normal return.
Then the VaR = 1% * Z(99%)*1000 = 1%*2.33*1000 = 23.3?

Question 3:
Is there a difference for estimating VaR between shorting and longing the same cash delta?

梦幻世界 · 2017-9-30 11:52:37

你的计算应该是对的，假设vol变化1%，计算新的值

地下室的蜻蜓 · 2017-9-30 07:36:18

linlixia881205 发表于 2017-9-29 23:38
这就是做市商的情景分析矩阵，一天后的var

所以大大你知道这些问题怎么做嘛？或者你有什么可以推荐的书让我去看一下的嘛？

linlixia881205 · 2017-9-29 23:38:18

这就是做市商的情景分析矩阵，一天后的var

地下室的蜻蜓 · 2017-9-29 19:23:22

对于第一题我的想法是假设volatility 1%，Z(99%) = 2.33 所以VaR99% ＝ 2.33*1%＊1000 ＝ 23.3 然后把1个月(22个工作日）转换成1天的 23.3/sqrt(22) = 4.97

第二题：
short $1000 cash delta, 求99%VaR.
我的做法是假设1% volatility， VaR ＝ VaR = 1% * Z(99%)*1000 = 1%*2.33*1000 = 23.3

第三题：
买卖相同数量的cash delta 最后得出的VaR一样嘛？
例：long $1000 cash delta 和 short $ 1000 cash delta

JohnD · 2017-9-29 17:52:07

要不翻译一下。。。

JohnD · 2017-9-29 17:51:51

楼主很厉害

关于用Vega Delta 来估算VaR的一道题目

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