问题如下图:
选项:
A.
B.
C.
解释:
为什么一个助教说b是对的一个说c是对的。。。时间是VaR定义里的要素之一啊
NO.PZ201702190100000103 问题如下 Whiof the following statements regarng the Vof the Inx Plus Funis correct? A.The expectemaximum loss for the portfolio is $6.5 million. B.Five percent of the time, the portfolio cexpecteto experiena loss of least $6.5 million. C.Ninety-five percent of the time, the portfolio cexpecteto experiena one-y loss of no more th$6.5 million. 考点VaR的定义解析这道原版书课后题不够严谨!A错在expecteVaR不是期望(或者说均值) ,它体现的是最大/最小损失。B5%的时间有最小损失$6.5 m。B其实并不完整,它没有说清time perio但是原版书答案为B。C95%的时间在一天内的最大损失为$6.5 m,描述本身没有问题,但参考答案给出it implies ththe portfolio will experiena loss on 95% of trang ys,意思是说这样的表达暗示了组合在95%的时间里都会面临损失,尽管也有可能获得收益,但是如果是跟领导汇报,这样的表达被引起误解。总结如果B把time perio充进去,那么BC其实都对。如果考试的时候遇到,我们按照原版书的,选B更合适。B is correct. Vmeasures the frequenof losses of a given minimum magnitu. Here the Vincates thon 5% of trang ys, the portfolio will experiena loss of least $6.5 million. (Although C mappeto sthe same thing it actually implies ththe portfolio will experiena loss on 95% of trang ys.) The correinterpretation is threturns will equto or greater th-$6.5 million on 95% of trang ys; those returns inclu gains well losses. 1、one-y 95% value risk (VaR) of $6.5 million2、one-y 5% value risk (VaR) of $6.5 million两者是一个意思吗?我记得一般是用第二种表述的呀
NO.PZ201702190100000103 为什么 c 不是正确答案
C错在哪?BC不是属于VAR的两种含义吗
B没有说时间维度啊
老师好。。。这道题目我和以前同学的疑问一样。C强调了 “one y loss”,我觉得更全面严谨。