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Consider an asset worth USD 1 million whose 95th percentile VaR is USD 100,000 (computed using the parametric method assuming the normal distribution). Suppose the bid-ask spread (which is also normally distributed) on the asset has a mean of 0.10 and a standard deviation of 0.30. What is the 95th percentile liquidity adjusted VaR assuming the confidence parameter of thespread is equal to 1.96?

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A) USD 200,000

B) USD 344,000

C) USD 444,000

D) USD 688,000

答案：C

解析：100,000 + 0.5 × (0.10 + 0.30 × 1.96) × 1,000,000 = 444,000

Atrader observes a quote for Stock ZZZ, and the midpoint of its current best bid and best ask prices is CAD 35. ZZZ has an estimated daily return volatility of 0.25% and average bid-ask spread of CAD 0.1.Assuming the returns of ZZZ are normally distributed, what is closest to the estimated liquidity-adjusted, 1-day 95% VaR, using the constant spread approach on a 10,000 share position?

A) CAD 1,000

B) CAD 1,940

C) CAD 3,000

D) CAD 4,000

答案：B

解析：LVaR = 35×10,000×1.645×0.25% + 0.5×35×10,000×0.1/35 = 1940

Asset liquidity risk is most pronounced for

A) a $10 million position in distressed securities

B) a $10 million position in Treasury bonds

C) a $100 million position in distressed securities

D) a $100 million position in Treasury bonds

答案：C

解析：Asset liquidity risk is a function of the size of the position and the intrinsic liquidity of the instrument. Distressed securities trade much less than Treasury bonds, and so have more intrinsic liquidity.A$100 million position is more illiquid than a $10 million position in the same instrument.

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