900                                                    25

 ,  RVOL      -
   ,  ,  RVAR ,  
  ,  .     ,  
      .    
   RVOL ,      (market risk) -
    .      
  RVAR ,       
(total risk),     ,   .  ,
          
,       RVOL ( -
   )     RVAR (
  ).  RVOL  ,   -
 ,     RVAR  ,   
".

     ,    ,
 4,5%, ,  0,8,     18%. 
RVOL^= 2,71% [(4,5% - 2,23%)/0,8],     
     ,     2,65% [(4,88% 
- 2,23%)/1,0].   RVAR^  0,12 [(4,5% - 2,23%)/18%], 
       , 
    0,36 [4,88% - 2,23%)/7,39%].   -
      (0,8 < 1,0)    -
 (18% > 7,39%)    .   ,  
      .

  ,  RVOL  RVAR  -  -
     .   ,    
         -
.

   .  ,     
 3,93%,   1,13,    9,08%.  -
, /?TOZ^= 1,50% [(3,93% -2,33%)/1,13]   RVOL^= 2,65%.
,     ,   . 
RVAR^= 0,13 [(3,93% - 2,23%)/9,08%] ,  RVAR^= 0,12,   -
           .

           -
,    ?       , 
 ,  ?       
   .        ,
      ,    -
   RVOL.        
    ,      .   
    ,      -
 ,       RVAR.  
           , 
 .

   

,      (market timer}, -
 ,     ,  -
  ,     ,   