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sophialinlinlin · 2025年07月04日

问多一句B选项

NO.PZ2019042401000068

问题如下:

A risk manager at an investment firm is making a presentation about VaR to a group of newly hired junior analysts. The manager explains the use of VaR in controlling and monitoring risk and discusses the benefits and limitations of VaR. Which of the following statements would be correct for the manager to make?

选项:

A.

VaR measures can help identify the different sources of an increase in total portfolio risk.

B.

VaR systems can generate accurate market risk estimates but at the expense of making “rogue trading” easier.

C.

VaR is a reliable and easily performed method to measure the riskiness of illiquid assets

D.

VaR systems can monitor the risk levels of investments at regular intervals but not in real time.

解释:

A is correct. VaR can be reverse engineered to understand where risk comes from using VaR tools.

B is incorrect. VaR doesn’t increase the number of rogue trades. On the contrary, having a VaR system in place may discourage rogue traders.

C is incorrect. VaR systems cannot capture some risks due to the illiquid nature or short history of certain assets.

D is incorrect. VaR can monitor investments in real-time.

第一部分也不太对吧,VaR没那么Accurate

1 个答案

李坏_品职助教 · 2025年07月04日

嗨,努力学习的PZer你好:


虽然VaR不是完全精确的,但是相比于其他的风险指标,比如σ或者半方差之类的,VaR已经算是比较贴合市场情况的指标了,所以说相比之下也可以算是accurate的了。

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