NO.PZ2019042401000016
问题如下：
There are several statements about tracking error and value at risk (VaR) ，asumming VAR is normal disturbuted:
I. VaR is the maximum loss over a given time period at a given α.
II. VaR assumes returns follow a normal distributionat a given α..
III. Tracking error can be represented by the standard deviation of excess return of the portfolio over the the peer group.
V. Both tracking error and VaR are risk measures.
Which of the following is correct:
选项：
A.I and II.
B.I , II and III.
C.I , II and V.
D.All.
解释：
C is correct.
考点：tracking error与 value at risk
解析：statement I 正确，这个说法正是VAR的定义。
statement II 正确， VAR假设return服从正态分布。
statement III 错误，tracking error是投资组合收益率超过benchmark的收益率，求标准差，注意是 benchmark, 不是 peer group。
statement V 正确，tracking error与VAR都是风险衡量指标。因此选项C正确。
peer group 不也可以作为benchmark吗，C选项说的也不能算错吧
