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mandy · 2025年01月08日

请问如何判断

  1. CFA III
  2. Fixed Income

* 问题详情，请 查看题干

NO.PZ202303270300007101

问题如下：

(1) Which of the following VaR measures is most appropriate for the portfolio manager to use to evaluate how this position would affect portfolio tail risk?

选项：

A.

CVaR

B.

Relative VaR

C.

Incremental VaR.

解释：

C is correct. The incremental VaR measures how the additional portfolio position would change the overall portfolio’s VaR measure.

请问老师这道题是怎么判断应该选incremental VaR的呢？题目中好像没有很明确提到是个additional position，CVaR不能用吗？谢谢

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2023-09-01 05:22 1 · 回答