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
Relative VaR
Incremental VaR
解释:
C is correct. The incremental VaR measures how the additional portfolio position would change the overall portfolio’s VaR measure.
就算incremental看的是marginal的影响,CVaR是平均。那CVaR也可以衡量tail risk呀?为什么答案说只能选incremental VaR呢?