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Jing · 2024年05月12日

这道题怎么理解

NO.PZ2024030505000055

问题如下:

Question A risk metric that measures how different an actual investment outcome could be from what the investor expects is most likely a:

选项:

A.vega. B.duration. C.standard deviation.

解释:

Solution
  1. Incorrect. Vega measures the sensitivity of a security (either a derivative or a security with derivative-like characteristics) to a change in the price volatility of the underlying asset.

  2. Incorrect. Duration measures the sensitivity of a security or portfolio to a change in market interest rates.

  3. Correct. Standard deviation is a measure of dispersion in a probability distribution and is used to describe the range of outcomes (minimum and maximum, centered on the expected outcome) that can occur with a particular probability. In contrast, duration measures the sensitivity of a security or portfolio to a change in market interest rates, and vega measures the sensitivity of a security (either a derivative or a security with derivative-like characteristics) to a change in the price volatility of the underlying asset.

Introduction to Risk Management

• describe methods for measuring and modifying risk exposures and factors to consider in choosing among the methods

这道题怎么理解,知识点在哪里?

1 个答案

Kiko_品职助教 · 2024年05月13日

嗨,爱思考的PZer你好:


属于M1 portfolio risk and return的内容。题目问的是衡量实际投资结果与投资者预期有多大差异的风险指标是什么。我们是用标准差来衡量的。

他衡量的是实际投资回报率与其平均值(期望回报率)之间的偏离程度。标准差越大,投资回报的波动性越大,风险也越高。最早提出使用方差与标准差来衡量投资风险的就是马科维茨的投资组合理论。

vega指的是波动率对衍生品的影响。duration是衡量债券价格对利率变动敏感性的。

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