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FrankSun · 2023年04月24日

consideration 2主要在讲什么？

  1. CFA III
  2. Fixed Income

* 问题详情，请 查看题干

NO.PZ202209060200004404

问题如下：

Which of Choate’s considerations regarding the precautions he can take in the portfolio is least likely correct?

选项：

A.Consideration 2 B.Consideration 1 C.Consideration 3

解释：

Solution

C is correct. Consideration 3 is incorrect. Hedging tail risks through portfolio diversification is not difficult to implement and only has modest incremental cost. Hedging with derivatives, such as credit default swaps, is effective but costly.

A is incorrect because Consideration 2 is correct.

B is incorrect because Consideration 1 is correct.

consideration 2主要在讲什么？

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1 个答案

pzqa31 · 2023年04月24日

嗨，爱思考的PZer你好：


Consideration2是在讲情景分析的应用：极端损失情况是比较难预测的，通过情景分析可以知道在一些不同情况下portfolio的变动情况，比如当信用利差变动一定幅度等等。还可以在情景分析中假设应用一些过去金融危机发生过的类似情景，对portfolio进行压力测试。

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