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toffee · 2023年05月23日

这个题是不是有问题啊

* 问题详情,请 查看题干

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

B.

Relative VaR

C.

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

2 个答案

pzqa31 · 2023年05月24日

嗨,从没放弃的小努力你好:


是的,incremental var严格来讲是计算新增一定仓位的资产对原资产组合带来的var变动,这道题说成了incremental Var衡量的是尾部的边际风险,其实是不准确的,但是题目想表达的就是一个增量的概念,所以也只能选C了。

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加油吧,让我们一起遇见更好的自己!

pzqa31 · 2023年05月24日

嗨,爱思考的PZer你好:


CvaR衡量的是尾部平均风险,incremental Var衡量的是尾部的边际风险,也就是增加或减少一单位持仓带来的损失。问的是加入这只债如何影响Portfolio的tail risk,所以要考察的是incremental的概念。

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就算太阳没有迎着我们而来,我们正在朝着它而去,加油!

toffee · 2023年05月24日

增量Var的真实定义里跟尾部没啥关系吧。增加头寸对整个头寸的影响,怎么能局限于尾部影响呢?

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