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Grayson · 2024年11月17日

B选项如何理解？

  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.

B选项如何理解？

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品职助教_七七 · 2024年11月17日

嗨，从没放弃的小努力你好：


B选项和A选项实际是一样的。ex ante tracking error就是relative VaR。B选项也是把（relative）VaR的一部分（本题的5%）分配给了某个portfolio，是分配风险预算的一种。

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

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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. 老师，请问risk bueting具体有哪几种方式呢？

2024-05-28 14:57 1 · 回答