NO.PZ2020042003000026
问题如下：
To unwind a large position, which of the
following statements is NOT correct?
选项：
A.
If the position is unwound
quickly, the trader will face large bid–offer spreads, but the potential loss
from the mid-market price moving against the trader is small.
B.
When Deciding how to liquidate a large
position over an n-day period, a trader might reasonably wish to minimize VaR
after trading costs have been considered
C.
When a position is to be closed out over n
days, more than 1/n of the position should be traded on the first day
D.
when
unwind a large position over n days, As the VaR confidence level is reduced,
the amounts traded per day show more variability.
解释：
考点：对Liquidity Trading Risk的理解
答案：选项D描述错误，因此本题选D。
解析：
关于D选项，正确的表述为：As the
VaR Confidence level is reduced, the amounts traded per day show less
variability.
也就是当Confidence level降低时，每日“最优交易量”之间的差距会变小。
每日最优交易量是怎么得到的？
