IVaR和relative VaR可以简单介绍一下吗？

问题如下：

Donovan cautions Hextall that VaR may not capture information related to large losses, portfolio composition, and performance. He states that these limitations maybe addressed by variations, or extensions, to VaR. For example, CVaR captures the potential loss if VaR is exceeded. IVaR measures ex ante tracking error. Relative VaR is used to determine the effect on VaR from any changes in portfolio composition.

Donavan’s statement about extensions to VaR is most likely correct with respect to:

选项：

A.

IVaR.

B.

CVaR.

C.

relative VaR.

解释：

B is correct. CVaR (conditional value at risk) answers the question, How much can I expect to lose if VaR is exceeded? This measure is also referred to as “expected tail loss” and“expected shortfall.” CVaR is best derived by using either the Monte Carlo or historical methods, in which returns beyond the VaR cut off may be averaged.

A is incorrect. IVaR (incremental value at risk) measures how changes in the portfolio’s composition affect the portfolio’s VaR. Ex ante tracking error is measured by relative VaR.

C is incorrect. Relative VaR is a measure of the degree to which the performance of the portfolio might deviate from its benchmark. Relative VaR is also referred to as “ex ante tracking error.”