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xiaobaiybz · 2020年03月05日

问一道题:NO.PZ201512181000007203 第3小题 [ CFA II ]

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问题如下:

Based only on Statement 2, the risk measurement approach:

选项:

A.

ignores right-tail events in the return distribution.

B.

is similar to the Sharpe ratio because it is backward looking.

C.

provides a relatively accurate risk estimate in both trending and volatile regimes.

解释:

A is correct. Statement 2 indicates that the Equity Opportunities Fund reported a daily VaR value. One of the limitations of VaR is that it focuses so heavily on left-tail events (the losses) that right-tail events (potential gains) are often ignored.

B is incorrect because VaR is viewed as forward looking in that it uses the current portfolio holdings and measures its potential loss. The Sharpe ratio represents a backward-looking return-based measure and is used to assess the skill of the manager.

C is incorrect because VaR does not provide an accurate risk estimate in either trending or volatile regimes. A portfolio might remain under its VaR limit every day but lose an amount approaching this limit each day. Under such circumstances, the portfolio could accumulate substantial losses without technically breaching the VaR constraint. Also, during periods of low volatility, VaR will appear quite low, underestimating the losses that could occur when the environment returns to a normal level of volatility.

这道题为什么选A呢?是因为var不考虑右侧只考虑左侧损失的意思吗?

1 个答案
已采纳答案

星星_品职助教 · 2020年03月05日

同学你好,

可以这么理解,就是答案解析说的“One of the limitations of VaR is that it focuses so heavily on left-tail events (the losses) that right-tail events (potential gains) are often ignored”

澳洲扒鸡 · 2022年11月12日

左尾是损失,右尾是收益啊,所以右尾有什么可考虑的?还有人嫌收益率太高的?

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NO.PZ201512181000007203 问题如下 Baseonly on Statement 2, the risk measurement approach: A.ignores right-tail events in the return stribution. B.is similto the Sharpe ratio because it is backwarlooking. C.provis a relatively accurate risk estimate in both trenng anvolatile regimes. A is correct. Statement 2 incates ththe Equity Opportunities Funreportea ily Vvalue. One of the limitations of Vis thit focuses so heavily on left-tail events (the losses) thright-tail events (potentigains) are often ignoreB is incorrebecause Vis vieweforwarlooking in thit uses the current portfolio holngs anmeasures its potentiloss. The Sharpe ratio represents a backwarlooking, return-basemeasure anis useto assess the skill of the manager.C is incorrebecause Ves not provi accurate risk estimate in either trenng or volatile regimes. A portfolio might remain unr its Vlimit every y but lose amount approaching this limit eay. Unr sucircumstances, the portfolio coulaccumulate substantilosses without technically breaching the Vconstraint. Also, ring perio of low volatility, Vwill appequite low, unrestimating the losses thcouloccur when the environment returns to a normlevel of volatility. 这个结论没印象

2024-01-05 22:37 1 · 回答

老师,为什么说var是forwarlooking ? VaR何老师说过是偏向历史的,historic, parametric也是用历史数据算sigma 和 miu, monta 的error term也是一般基于历史经验给他一个分布。 所以都是偏向历史。 但是B的说var用current ta 预估未来, 所以是forwarlooking, 感觉说的很牵强。 明明current ta也是发生过了的,所以应该是是past t而且按照它说的预估未来就是forwarlooking ,那sharp ratio不也是看基金经理过去表现而让投资者对其未来表现有个预估么不就是forwarlooking么?投资者也就是停于看其过去表现就完了,都是按照过去来判断是否未来信任他。所以答案说v用current ta 所以是forwarlooking是不是写得不对呀?

2020-02-26 20:48 1 · 回答

老师,那个整个VAR的normstribution 叫做return stribution么 ? 还是说左边叫做loss stribution,右边叫做return stribution ? 一般说stribution是指整个curve是么? 我明白A想表达的意思,不明白这整个curve叫什么?

2020-02-26 20:29 1 · 回答