NO.PZ2019042401000009
问题如下：
There are several statements with respect to computing incremental VaR，comparing to computing marginal VaR:
I: it is nessary to compute with full revaluation.
II: it is not nessary to compute with full revaluation.
III: less costly, also less accurate.
V: more costly, also more accurate.
Which of the following is correct:
选项：
A.Both I and III.
B.Both II and III.
C.Both II and V.
D.Both I and V.
解释：
D is correct.
考点：incremental VaR 与marginal VaR
解析：首先，Incremental VAR =( VARp+a) - VARp，计算incremental VaR 需要以完全重估的方式进行计算，即需要重新计算新的头寸下的VAR，因此statement I 说法正确。
与计算marginal VaR相比，以完全重估的方式重新计算incremental VAR会得到较准确的结果，但是会花费较高的时间和成本，因此statement V 说法正确。
因此选项D正确。
虽然这里说的IVAR是要进行 full revaluation的，但是实际我看我们考试试题都是用MVAR*Increment来求出近似的IVAR就OK了是吗
