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ruby5ltc · 2023年03月16日

请问

NO.PZ2020021601000011

问题如下:

Ivan Paulinic, an analyst at a large wealth management firm, meets with his supervisor to discuss adding financial institution equity securities to client portfolios.

Paulinic gathers data on three national banks that meet initial selection criteria but require further review.

Focusing on N- bank and T- bank, Paulinic prepares the following data.


Based only on Exhibit 3, Paulinic should conclude that:

选项:

A.

trading activities are riskier at T- bank than N- bank.

B.

trading revenue per unit of risk has improved more at N- bank than T- bank.

C.

compared with duration, the metric used is a better measure of interest rate risk.

解释:

B is correct.

Trading revenue per unit of risk can be represented by the ratio of annual trading revenue to average daily trading value at risk (VaR) and represents a measure of reward- to- risk. The trading revenue per unit of risk improved at N- bank (from 134× to 160×) between 2016 and 2017, and there was no change at T- bank (80×). VaR can be used for gauging trends in intra- company risk taking.

这道题易误选 A。选项 A 说 T 银行的交易活动比 N 银行的风险更大,是想用表格第一行数据比较。VaR 是 value at risk,也就是一段时间内(在某个可能性下)最大损失数是多少。average daily VaR 就是平均的每天的最大可能的损失。

这道题目表格里面的数字意思就是:2017 年平均来看,每天可能只有极小概率下是损失超过 11.3 million。但是不同银行之间,不能用 VaR 来比较风险大小。因为每个银行的资产规模是不一样的。average daily VaR 大的不一定损失的比例高。"VaR is not as useful for assessing risk-taking activities between different companies"

第一行和第二行分别代表什么意思

1 个答案

王园圆_品职助教 · 2023年03月16日

嗨,从没放弃的小努力你好:


同学你好,解析这里有做解释的哦“VaR 是 value at risk,也就是一段时间内(在某个可能性下)最大损失数是多少。average daily VaR 就是平均的每天的最大可能的损失。”但是讲义里说了,由于不同的公司计量VaR的假设不同,所以直接拿不同公司的VaR来做横向比较确定谁风险比较低是不合适的

把VaR理解为风险,那表格第二行就很好理解了,就是每承担一单位的风险所带来的年收入是多少——所以N银行在2017年相对2015年同样承担一单位风险带来的收入更高了,说明N银行的风险管理水平提高了,所以B对

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努力的时光都是限量版,加油!

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2023-07-26 22:11 2 · 回答

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