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Tammy · 2023年02月19日

老师选项C为什么是错误的

NO.PZ2020021601000011

问题如下:

Ivan Paulinic, an analyst at a large wealth management firm, meets with his supervisor to discuss adding financial institution equity securities to client portfolios.

Paulinic gathers data on three national banks that meet initial selection criteria but require further review.

Focusing on N- bank and T- bank, Paulinic prepares the following data.


Based only on Exhibit 3, Paulinic should conclude that:

选项:

A.

trading activities are riskier at T- bank than N- bank.

B.

trading revenue per unit of risk has improved more at N- bank than T- bank.

C.

compared with duration, the metric used is a better measure of interest rate risk.

解释:

B is correct.

Trading revenue per unit of risk can be represented by the ratio of annual trading revenue to average daily trading value at risk (VaR) and represents a measure of reward- to- risk. The trading revenue per unit of risk improved at N- bank (from 134× to 160×) between 2016 and 2017, and there was no change at T- bank (80×). VaR can be used for gauging trends in intra- company risk taking.

这道题易误选 A。选项 A 说 T 银行的交易活动比 N 银行的风险更大,是想用表格第一行数据比较。VaR 是 value at risk,也就是一段时间内(在某个可能性下)最大损失数是多少。average daily VaR 就是平均的每天的最大可能的损失。

这道题目表格里面的数字意思就是:2017 年平均来看,每天可能只有极小概率下是损失超过 11.3 million。但是不同银行之间,不能用 VaR 来比较风险大小。因为每个银行的资产规模是不一样的。average daily VaR 大的不一定损失的比例高。"VaR is not as useful for assessing risk-taking activities between different companies"

老师选项C为什么是错误的

1 个答案

袁园_品职助教 · 2023年02月20日

嗨,从没放弃的小努力你好:


久期是衡量债券价格对利率变化的敏感程度的指标。久期越高,说明债券价格对利率变化的敏感程度越大,风险越高。

而VAR(Value at Risk)是一种风险度量方法,它用于测量投资组合的可能损失。

因此久期是专门用来衡量利率风险的指标,而VAR更适合评估更广泛的金融市场风险。

所以C是错的。

----------------------------------------------
努力的时光都是限量版,加油!

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