问题如下:
Which of the following statement is least appropriate?
选项:
A.VaR estimate takes liquidity risk into account.
B.sensitivity and scenario risk measures are complements of VaR.
C.sensitivity and scenario risk measures do not need to rely on history.
解释:
A is correct.
考点:risk measures的优缺点
解析:VaR没有考虑流动性风险,如果投资组合流动性较差,那么计算的VaR是被低估的。sensitivity and scenario analysis是VaR的补充,两者基于假设,可以测试portfolio在某个因素或者极端情况下的抵御风险的能力。
what risk does VaR take into considerations?