NO.PZ2020011303000152
问题如下:
Explain the information provided by VaR, stressed VaR, and stress testing.
解释:
VaR provides a high percentile of the distribution of losses over a short period based on recent history. Stressed VaR provides a high percentile of the distribution of losses over a short period conditional on a repeat of a stressed period. Stress testing evaluates the outcome from a particular stress scenario over a longer period.
老师可以帮忙解释一下嘛