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ZJR · 2018年03月28日

FRM II 投资风险

  1. FRM II
  2. Risk Management And Investment Management

问题如下图：

为何不是CVAR=100*MVAR=44？

选项：

A.

B.

C.

D.

解释：

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已采纳答案

妙悟先生品职答疑助手 · 2018年03月28日

因为还要考虑资产的相关性，这题的思考方法是这样的，组合整体的VaR是61.6，将资产2从组合中移除时，组合只剩下资产1，资产1的VaR是23.3，变动就等于61.6-23.3=38.3


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