NO.PZ2023040601000029
问题如下:
Following the investment committee’s approval, Patterson references the updated risk management policy in her quarterly letter to investors. She states: “At Citadel, we take risk management very seriously. In response to recent investor concerns about volatility in our multi-asset fund, we have implemented a new policy. We limit fund losses to 2% of assets with a 99% level of confidence, with additional measures to limit total losses to 3% over a rolling 30-dayperiod.”
Patterson’s comments to Citadel’s investors are least likely accurate with regard to her:
选项:
A.
use of confidence levels.
B.
discussion of limiting losses.
C.
implied percentage declines from dollar VaR limits.
解释:
VaR is an expression of a minimum loss. It is incorrect for Patterson to state that the policy will limit fund losses to 2% ($10 million ÷ $500 million) over a 5-dayperiod. In practice, the maximum loss possible in an unleveraged portfolio is the entire value of the portfolio.
答案的每个单词好像都认识,但是放在一起怎么不知道他说的啥?