c选项怎么理解？

NO.PZ2016072602000002

问题如下：

Which of these outcomes is not associated with an operational risk process?

选项：

The sale of call options is booked as a purchase.

A monthly volatility is inputted in a model that requires a daily volatility.

A loss is incurred on an option portfolio because ex post volatility exceeded expected volatility.

A volatility estimate is based on a time series that includes a price that exceeds the other prices by a factor of 100.

解释：

C is correct. Choices a., b., and d. are operational losses. Answer c. is the result of a bet on volatility, which is market risk.

c选项怎么理解，不懂

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1 个答案

李坏_品职助教 · 2021年11月08日

嗨，努力学习的PZer你好：

C项说的意思是，当期权组合的真实波动率（就是期权对应的股票的标准差σ）超过了预期的σ，那么期权组合可能会出现损失。

这个说的是市场风险的范畴了，不是operational risk。

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

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NO.PZ2016072602000002 问题如下 Whiof these outcomes is not associatewith operationrisk process? A.The sale of call options is bookea purchase. B.A monthly volatility is inputtein a mol threquires a ily volatility. C.A loss is incurreon option portfolio because ex post volatility exceeexpectevolatility. A volatility estimate is baseon a time series thinclus a prithexcee the other prices a factor of 100. C is correct. Choices a., b., an are operationlosses. Answer is the result of a bet on volatility, whiis market risk. 请问什么意思？谢谢

2022-08-24 22:00 1 · 回答

NO.PZ2016072602000002 是很理解，盼复

2021-02-08 23:11 2 · 回答

请问A怎么理解

2020-10-25 16:08 1 · 回答

真正去仔细理解，不是操作风险啊，有点类似于ta造成的mol risk啊

2020-06-16 21:16 1 · 回答

c选项怎么理解？

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