NO.PZ2021101401000017
问题如下：
Galic, who is 62 years old, decides to allocate C$2 million (representing 10% of his net worth) to an account with GWP and stipulates that portfolio assets be restricted exclusively to domestic securities. Although GWP has not backtested its strategies with such a restriction, it has backtested its strategies using a global index that includes domestic securities. Rom shows the following risk measures to Galic for three factor portfolios.
Which of the following conclusions of Exhibit 1 is least likely to be true?
选项：
A.5% of the time, losses from Factor 1 would be at least 6.49%.
When the VaR is exceeded in Factor 1, we should expect an average loss of 15.73%.
5% of the time, losses from Factor 2 are likely to be worse than losses from Factor 1.
解释：
C is correct. The VaR metrics in Exhibit 1 show that 5% of the time, losses will be at least 6.49% and 0.77%, respectively, for Factor 1 and Factor 2. The CVaR metrics in Exhibit 1 show that the weighted average of all loss outcomes that exceed the VaR loss are 15.73% and 4.21% for Factor 1 and Factor 2, respectively. Thus, A is true because it correctly defines VaR, and B is true because it correctly defines CVaR, whereas C is untrue because both VaR and CVaR are lower for Factor 2 than Factor 1.
如题
