Anne · 2025年05月28日
* 问题详情，请 查看题干
NO.PZ202112010200002201
问题如下：
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
Relative VaR
Incremental VaR
解释：
C is correct. The incremental VaR measures how the additional portfolio position would change the overall portfolio’s VaR measure.
发亮_品职助教 · 2025年05月28日
三个选项都是衡量tail risk的指标。各有用处。
Relative VaR是存在benchmark的情况下，衡量相对于benchmark tracking error的VaR值
CVaR：把VaR当成分界点，损失超过VaR的所有损失，求一个平均数average loss，就是CVaR
incremental VaR是给组合里面增加新的头寸，新头寸带来的VaR的改变。
用哪个具体要看应用场景。像这道题说要给组合里面加一个新的12年期债券（considering the portfolio impact of a new 12-year corporate bond position）
然后题目问这个头寸如何影响到组合的tail risk。（evaluate how this position would affect portfolio tail risk），其实就是评价新增头寸对组合VaR的影响，要看relative VaR
NO.PZ202112010200002201 问题如下 Whichof the following Vmeasures is most appropriate for the portfolio manager touse to evaluate how this position woulaffeportfolio tail risk? A.CV B.Relative V C.IncrementV C is correct. The incrementVmeasures how the aitionalportfolio position woulchange the overall portfolio’s Vmeasure. 老师好这个答案是不是给串了，题目写的是衡量尾部收益，答案给的是新增风险。
NO.PZ202112010200002201 问题如下 Whichof the following Vmeasures is most appropriate for the portfolio manager touse to evaluate how this position woulaffeportfolio tail risk? A.CV B.Relative V C.IncrementV C is correct. The incrementVmeasures how the aitionalportfolio position woulchange the overall portfolio’s Vmeasure. 增量V很明显是研究增加一个头寸 对整个组合产生的影响。 原文说研究的是尾部？ CV难道不是研究的是尾部的? 这个题出的也太扯了把，我感觉99%的人都会选CVAR
NO.PZ202112010200002201 问题如下 investor is consiringthe portfolio impaof a new 12-yecorporate bonposition with a $75million favalue, a 3.25% coupon, current YTM of 2.85%, mofieration of9.887, ana priof 104.0175 per 100 of favalue. Whichof the following Vmeasures is most appropriate for the portfolio manager touse to evaluate how this position woulaffeportfolio tail risk? A.CV B.Relative V C.IncrementV C is correct. The incrementVmeasures how the aitionalportfolio position woulchange the overall portfolio’s Vmeasure. 就算incremental看的是marginal的影响，CVaR是平均。那CVaR也可以衡量tail risk呀？为什么答案说只能选incrementVaR呢？
NO.PZ202112010200002201 问题如下 investor is consiringthe portfolio impaof a new 12-yecorporate bonposition with a $75million favalue, a 3.25% coupon, current YTM of 2.85%, mofieration of9.887, ana priof 104.0175 per 100 of favalue. Whichof the following Vmeasures is most appropriate for the portfolio manager touse to evaluate how this position woulaffeportfolio tail risk? A.CV B.Relative V C.IncrementV C is correct. The incrementVmeasures how the aitionalportfolio position woulchange the overall portfolio’s Vmeasure. relative Var什么时候适用？
