开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)|3.2.5(安卓)APP下载

Jacinth · 2023年03月04日

老师不好意思,想问一下这是哪个考点?

NO.PZ2020010304000045

问题如下:

What does the VaR of a portfolio measure?

选项:

解释:

The VaR is a measure or the magnitude of the loss that the portfolio will lose with some specified probability (e.g., 5%) over some fixed horizon (e.g., one day or one week). The p-VaR is formally defined as the value where:

Pr(L > VaR) = 1 - p,

where L is the loss of the portfolio of the selected time horizon and 1 - p is the probability that a large loss occurs.

老师不好意思,想问一下这是哪个考点?

1 个答案
已采纳答案

DD仔_品职助教 · 2023年03月05日

嗨,爱思考的PZer你好:


同学你好,

具体知识点在估值与风险建模,讲义299页开始:

----------------------------------------------
虽然现在很辛苦,但努力过的感觉真的很好,加油!

  • 1

    回答
  • 0

    关注
  • 257

    浏览
相关问题