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Assume the mean and the standard deviation of an asset return are μ = 0 and σ = 2%, respectively. Also, consider a non-constant bid-ask spread with a mean of 1.5% and a standard deviation of 0.5%. Calculate the percentage of increase in VAR resulting from the liquidity risk, assuming a confidence parameter for the spread z'α to be equal to 3. Use a 95% confidence level.
A. 53%.
B. 21%.
C. 20%.
D. 46%.