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Feeling · 2022年08月31日

请问CVaR不就是用来衡量尾部风险的吗？

  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.

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？



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已采纳答案

pzqa015 · 2022年09月01日

嗨，爱思考的PZer你好：


答案问的是加入这只债如何影响Portfolio的tail risk，显然，要考察的是incremental的概念。

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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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