开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)|3.2.5(安卓)APP下载

Lynn · 2020年02月29日

问一道题:NO.PZ2018091701000081

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 analysisVaR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?

1 个答案

丹丹_品职答疑助手 · 2020年03月01日

同学你好,本章考查R45-measuring and managing market risk.

VaR的定义是Value at risk is the minimum loss that would be expected a certain percentage of the
time over a certain period of time given the assumed market conditions. It can be
expressed in either currency units or as a percentage of portfolio value.
衡量的是假定在正态分布下,一定时间内在一定置信区间下的最小损失。因为正态分布的假设,所以造成他很多缺陷,需要用情景分析、压力测试等方法来补充。