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二三六七七九九 · 2018年09月24日

问一道题：NO.PZ2016071602000011 [ FRM II ]

  1. FRM II
  2. Risk Management And Investment Management

问题如下图：

选项：

A.

B.

C.

D.

解释：

这题为什么不是MVAR*P2选c？

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1 个答案

orange品职答疑助手 · 2018年09月25日

同学你好，组合一开始的VAR＝61.6，拿掉资产2之后，整个组合只剩资产1，所以新的组合的VAR＝资产1单独的VAR=23.3，再相减便得到reduction

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