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

壹贰三番 · 2023年04月22日

A为什么是at least 不是at most

NO.PZ2021101401000017

问题如下:

Galic, who is 62 years old, decides to allocate C$2 million (representing 10% of his net worth) to an account with GWP and stipulates that portfolio assets be restricted exclusively to domestic securities. Although GWP has not backtested its strategies with such a restriction, it has backtested its strategies using a global index that includes domestic securities. Rom shows the following risk measures to Galic for three factor portfolios.


Which of the following conclusions of Exhibit 1 is least likely to be true?

选项:

A.

5% of the time, losses from Factor 1 would be at least 6.49%.

B.

When the VaR is exceeded in Factor 1, we should expect an average loss of 15.73%.

C.

5% of the time, losses from Factor 2 are likely to be worse than losses from Factor 1.

解释:

C is correct. The VaR metrics in Exhibit 1 show that 5% of the time, losses will be at least 6.49% and 0.77%, respectively, for Factor 1 and Factor 2. The CVaR metrics in Exhibit 1 show that the weighted average of all loss outcomes that exceed the VaR loss are 15.73% and 4.21% for Factor 1 and Factor 2, respectively. Thus, A is true because it correctly defines VaR, and B is true because it correctly defines CVaR, whereas C is untrue because both VaR and CVaR are lower for Factor 2 than Factor 1.

A为什么是at least 不是at most

1 个答案

星星_品职助教 · 2023年04月23日

同学你好,

如果从5%的角度出发,VaR就是最小损失,因为VaR左侧尾部的其他损失都比它大;

如果从95%的角度出发,VaR就是最大损失,因为所有VaR右侧的损失都比它小,从0开始右侧都已经是盈利了。

本题A选项是从5%的角度考察的,所以VaR=最小损失,也就是至少(at least)损失VaR=6.49%这么多,其余损失都比6.49%大。所以描述是正确的。

  • 1

    回答
  • 1

    关注
  • 298

    浏览
相关问题

NO.PZ2021101401000017 问题如下 Galiwho is 62 years ol cis to allocate C$2 million (representing 10% of his net worth) to account with GWP anstipulates thportfolio assets restricteexclusively to mestic securities. Although GWP hnot backtesteits strategies with sua restriction, it hbacktesteits strategies using a globinx thinclus mestic securities. Rom shows the following risk measures to Galic for three factor portfolios.Whiof the following conclusions of Exhibit 1 is least likely to true? A.5% of the time, losses from Factor 1 woulleast 6.49%. B.When the Vis exceein Factor 1, we shoulexpeaverage loss of 15.73%. C.5% of the time, losses from Factor 2 are likely to worse thlosses from Factor 1. C is correct. The Vmetriin Exhibit 1 show th5% of the time, losses will least 6.49% an0.77%, respectively, for Factor 1 anFactor 2. The CVmetriin Exhibit 1 show ththe weighteaverage of all loss outcomes thexceethe Vloss are 15.73% an4.21% for Factor 1 anFactor 2, respectively. Thus, A is true because it correctly fines VaR, anB is true because it correctly fines CVaR, whereC is untrue because both VanCVare lower for Factor 2 thFactor 1. 老师,该题的C如何?

2024-08-27 16:51 1 · 回答

NO.PZ2021101401000017 问题如下 Galiwho is 62 years ol cis to allocate C$2 million (representing 10% of his net worth) to account with GWP anstipulates thportfolio assets restricteexclusively to mestic securities. Although GWP hnot backtesteits strategies with sua restriction, it hbacktesteits strategies using a globinx thinclus mestic securities. Rom shows the following risk measures to Galic for three factor portfolios.Whiof the following conclusions of Exhibit 1 is least likely to true? A.5% of the time, losses from Factor 1 woulleast 6.49%. B.When the Vis exceein Factor 1, we shoulexpeaverage loss of 15.73%. C.5% of the time, losses from Factor 2 are likely to worse thlosses from Factor 1. C is correct. The Vmetriin Exhibit 1 show th5% of the time, losses will least 6.49% an0.77%, respectively, for Factor 1 anFactor 2. The CVmetriin Exhibit 1 show ththe weighteaverage of all loss outcomes thexceethe Vloss are 15.73% an4.21% for Factor 1 anFactor 2, respectively. Thus, A is true because it correctly fines VaR, anB is true because it correctly fines CVaR, whereC is untrue because both VanCVare lower for Factor 2 thFactor 1. 如题

2022-08-26 15:29 1 · 回答

NO.PZ2021101401000017 When the Vis exceein Factor 1, we shoulexpeaverage loss of 15.73%. 5% of the time, losses from Factor 2 are likely to worse thlosses from Factor 1. C is correct. The Vmetriin Exhibit 1 show th5% of the time, losses will least 6.49% an0.77%, respectively, for Factor 1 anFactor 2. The CVmetriin Exhibit 1 show ththe weighteaverage of all loss outcomes thexceethe Vloss are 15.73% an4.21% for Factor 1 anFactor 2, respectively. Thus, A is true because it correctly fines VaR, anB is true because it correctly fines CVaR, whereC is untrue because both VanCVare lower for Factor 2 thFactor 1. VaR变大,CVaR不变吗?该怎么理解呢

2022-08-10 11:26 1 · 回答

NO.PZ2021101401000017问题如下 Galiwho is 62 years ol cis to allocate C$2 million (representing 10% of his net worth) to account with GWP anstipulates thportfolio assets restricteexclusively to mestic securities. Although GWP hnot backtesteits strategies with sua restriction, it hbacktesteits strategies using a globinx thinclus mestic securities. Rom shows the following risk measures to Galic for three factor portfolios.Whiof the following conclusions of Exhibit 1 is least likely to true? A.5% of the time, losses from Factor 1 woulleast 6.49%. B.When the Vis exceein Factor 1, we shoulexpeaverage loss of 15.73%. C.5% of the time, losses from Factor 2 are likely to worse thlosses from Factor 1. C is correct. The Vmetriin Exhibit 1 show th5% of the time, losses will least 6.49% an0.77%, respectively, for Factor 1 anFactor 2. The CVmetriin Exhibit 1 show ththe weighteaverage of all loss outcomes thexceethe Vloss are 15.73% an4.21% for Factor 1 anFactor 2, respectively. Thus, A is true because it correctly fines VaR, anB is true because it correctly fines CVaR, whereC is untrue because both VanCVare lower for Factor 2 thFactor 1. 乍一看a好像也还好,是以为表述不够完整吗

2022-03-24 23:02 1 · 回答