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西红柿面 · 2024年05月16日

A选项

NO.PZ2023040501000101

问题如下:

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


Based only on Exhibit 3, Paulinic should conclude that: (curriculum)

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:

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.

听了讲解,但是还有疑问。虽然说VAR不能跨公司比较,但我加入单看N公司,2017年的VAR是下降的,T公司2027年的VAR是上升的,所以说T公司是Risker的呀,这样理解A是对的呀

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已采纳答案

王园圆_品职助教 · 2024年05月16日

同学你好,你没有考虑银行规模的影响

假如,N公司虽然Var绝对值看起来下降了一点点,但其实投资的有风险资产的规模其实下降了可能超过50%——那每单位有风险资产的Var其实是不降反升的

T公司则正好相反,看起来Var上涨了一点点,但其实投资的有风险资产的规模其实扩大了一倍——导致每单位有风险资产的Var大幅下降

你还能说N公司的交易行为是比T公司小的吗?

抛开了资产规模谈Var的绝对值比较,无论是公司间还是公司内部比较,都是没有任何意义的