Livy · 2023年09月01日

Calculate Fixed-rate bond VAR

1. CFA III
2. Fixed Income

* 问题详情，请 查看题干

NO.PZ202303270300007101

问题如下：

(1) Which of the following VaR measures is most appropriate for the portfolio manager to use to evaluate how this position would affect portfolio tail risk?

选项：

A.

CVaR

B.

Relative VaR

C.

Incremental VaR.

解释：

C is correct. The incremental VaR measures how the additional portfolio position would change the overall portfolio’s VaR measure.

No.PZ2023032703000071

经典题 Liquidity and Tail Risk 4.3第二问，和

押题班Liquidity and Tail Risk 5.2

两道题的题目一致只是数字不同

押题班的答案乘以了YTM，而经典题的答案里没有乘YTM

请问是为什么呢

如果考试中碰到了这类题，应该以哪个为标准