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SHAO · 2024年05月28日

老师，请问risk budgeting具体有哪几种方式呢？

  1. CFA II
  2. Portfolio

NO.PZ2015121810000081

问题如下：

Which of the following is not an example of risk budgeting?

选项：

A.

Giving a foreign exchange trading desk a VaR limit of $10 million

B.

Allowing a portfolio manager to have an ex ante tracking error up to 5% in a given portfolio

C.

Reducing the positions in a portfolio after a loss of a 5% of capital has occurred in a single month

解释：

C is correct. This is an example of a stop-loss limit, not risk budgeting. The other choices are both examples of risk budgeting.

老师，请问risk budgeting具体有哪几种方式呢？

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品职助教_七七 · 2024年05月28日

嗨，爱思考的PZer你好：


risk budgeting是确定总风险后，再把风险分配到各个部门里的一个概念，没有具体的分配方式。只要满足这个大的概念，都算risk budgeting。

本题的A（风险用VaR衡量）、B（风险用ex ante tracking error衡量）都是把一部分风险额度分配给了相关部门（A选项的trading desk和B选项的某一个portfolio manager）。

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NO.PZ2015121810000081 问题如下 Whiof the following is not example of risk bueting? A.Giving a foreign exchange trang sk a Vlimit of $10 million B.Allowing a portfolio manager to have ex ante tracking error up to 5% in a given portfolio C.Recing the positions in a portfolio after a loss of a 5% of capithoccurrein a single month C is correct. This is example of a stop-loss limit, not risk bueting. The other choices are both examples of risk bueting. B如何理解？

2024-11-17 06:44 1 · 回答