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徐威廉 · 2022年08月30日

relative Var

  1. CFA III
  2. Fixed Income

* 问题详情，请 查看题干

NO.PZ202112010200002201

问题如下：

An investor is considering the portfolio impact of a new 12-year corporate bond position with a $75 million face value, a 3.25% coupon, current YTM of 2.85%, modified duration of 9.887, and a price of 104.0175 per 100 of face value.


Which of the following VaR measures is most appropriate for the portfolio manager to use to evaluate how this position would affect portfolio tail risk?

选项：

A.

CVaR

B.

Relative VaR

C.

Incremental VaR

解释：

C is correct. The incremental VaR measures how the additional portfolio position would change the overall portfolio’s VaR measure.

relative Var什么时候适用？

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已采纳答案

pzqa015 · 2022年08月30日

嗨，努力学习的PZer你好：


Relative Var是（Rp-Rb）的Var

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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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