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Bluebiubiu · 2021年02月17日

pure unit risk的概念是哪部分 能不能解释一下选项C

NO.PZ2020021601000011

问题如下:

Ivan Paulinic, an analyst at a large wealth management firm, meets with his supervisor to discuss adding financial institution equity securities to client portfolios.

Paulinic gathers data on three national banks that meet initial selection criteria but require further review.

Focusing on N- bank and T- bank, Paulinic prepares the following data.

Based only on Exhibit 3, Paulinic should conclude that:

选项:

A.

trading activities are riskier at T- bank than N- bank.

B.

trading revenue per unit of risk has improved more at N- bank than T- bank.

C.

compared with duration, the metric used is a better measure of interest rate risk.

解释:

B is correct.

Trading revenue per unit of risk can be represented by the ratio of annual trading revenue to average daily trading value at risk (VaR) and represents a measure of reward- to- risk. The trading revenue per unit of risk improved at N- bank (from 134× to 160×) between 2016 and 2017, and there was no change at T- bank (80×). VaR can be used for gauging trends in intra- company risk taking.

RTpure unit risk的概念是哪部分 能不能解释一下选项C

1 个答案

王琛_品职助教 · 2021年02月18日

- 选项 B 中出现了一个概念:trading revenue per unit of risk,这个概念并没有在原版书中有单独介绍,而是根据题干的描述 "Based only on Exhibit 3",其实是表格第二行的指标的名称
- 相当于表格第二行,给出了指标的计算公式,然后在选项 B 中,直接用名称代替了
- 选项 C:VaR 比 duration 更能衡量 interest rate risk。这个其实是我们在固收里面的学的知识,interest rate risk 是用 duration 衡量的,所以 C 不对

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NO.PZ2020021601000011 问题如下 IvPaulinianalyst a large wealth management firm, meets with his supervisor to scuss aing financiinstitution equity securities to client portfolios. Paulinic gathers ta on three nationbanks thmeet initiselection criteria but require further review. Focusing on N- bank anT- bank, Paulinic prepares the following ta.Baseonly on Exhibit 3, Paulinic shoulconclu that: A.trang activities are riskier T- bank thN- bank. B.trang revenue per unit of risk himprovemore N- bank thT- bank. C.comparewith ration, the metric useis a better measure of interest rate risk. B is correct.Trang revenue per unit of risk crepresentethe ratio of annutrang revenue to average ily trang value risk (VaR) anrepresents a measure of rewar to- risk. The trang revenue per unit of risk improveN- bank (from 134× to 160×) between 2016 an2017, anthere wno change T- bank (80×). Vcusefor gauging tren in intrcompany risk taking.这道题易误选 A 说 T 银行的交易活动比 N 银行的风险更大,是想用表格第一行数据比较。V是 value risk,也就是一段时间内(在某个可能性下)最大损失数是多少。average ily V就是平均的每天的最大可能的损失。这道题目表格里面的数字意思就是2017 年平均来看,每天可能只有极小概率下是损失超过 11.3 million。但是不同银行之间,不能用 V来比较风险大小。因为每个银行的资产规模是不一样的。average ily V大的不一定损失的比例高。\"Vis not useful for assessing risk-taking activities between fferent companies\" 这个B是什么意思呢?

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