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临江仙 · 2023年07月26日

这个B是什么意思呢?

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"

这个B是什么意思呢?

2 个答案

王园圆_品职助教 · 2023年08月21日

同学你好,你再仔细看下这个指标:trading revenue/Var,Var作为风险是在分母上的,代表的是每承担一单位风险能够获得的收入——类比sharp ratio

sharp ratio是不是越大越好?这个指标也一样,数字越大,说明每承担一单位风险的收入越多,肯定是越好啊

王园圆_品职助教 · 2023年07月26日

B选项对应的是表格中最后一行的数据:表格的annual trading revenue就对应选项中的

trading revenue,而average daily trading VaR就对应unit of risk。表格中revenue除以Var相当于把revenue用Var这种风险指标进行了标准化,你可以类比Sharp ratio ,就是用风险除以收益,得到每单位的风险可以获得的收益,这里也是类似的含义

因为N银行2017年这个值是160,比2016年的134显著变高了,而T银行两年都是80,没有变化,所以B的说法是正确的

Johnny.C · 2023年08月21日

他变高 了,不就是他的可能损失更大了,那怎么就是improve了呢?

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2023-03-20 17:16 1 · 回答

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2023-03-16 21:29 1 · 回答

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2023-02-19 18:15 1 · 回答

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