NO.PZ202112010200002201
问题如下:
Which of the following VaR measures is most appropriate for the portfolio manager to use to evaluate how this position would affect portfolio tail risk?
选项:
A.CVaR
Relative VaR
Incremental VaR
解释:
C is correct. The incremental VaR measures how the additional portfolio position would change the overall portfolio’s VaR measure.
增量Var 很明显是研究增加一个头寸 对整个组合产生的影响。 原文说研究的是尾部? CVAR 难道不是研究的是尾部的? 这个题出的也太扯了把,我感觉99%的人都会选CVAR