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lcrcp3 · 2023年09月22日

如题

NO.PZ2023040501000101

问题如下:

Focusing on N-bank and T-bank, Paulinic prepares the following data.


Based only on Exhibit 3, Paulinic should conclude that: (curriculum)

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:

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.

A怎么不对?一个最小损失21,一个最小损失11,21的不比11的风险大?

1 个答案
已采纳答案

王园圆_品职助教 · 2023年09月22日

同学你好,举个例子,假设N银行从事的都是衍生品投资业务,总投资金额100万,Var值算出来50万

T银行从事的都是政府级债券投资业务,总投资金额10000万,Var值算出来100万

你说两个银行哪个风险大?T银行投资金额那么大,整体下来其实亏损概率比N银行是更低的

剔除了规模只看风险数字的绝对值肯定是不准确的

用trading revenue /Var相当于是一个sharp ratio的概念(return/risk),这样可以衡量每承担一单位风险可以获得的收益,剔除了资产规模大小的影响,比较结果会比单纯的Var更有意义