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Clean · 2018年09月05日

问一道题：NO.PZ2016071602000011 [ FRM II ]

  1. FRM II
  2. Risk Management And Investment Management

问题如下图：

选项：

A.

B.

C.

D.

答案c哪里错了？CVAR 就是资产2的影响啊 解释：

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orange品职答疑助手 · 2018年09月05日

同学你好，因为题目中说了两个资产的收益率服从multivariate normal，即二元正态分布，说明他们之间是有相关性的。有相关性的话，portfolio的VaR就有了一个分散化的效果。如果直接减资产2的CVaR，是不对的。本题应该这样做：portfolio里拿走了asset2，那就只剩下asset1，那么现在portfolio的VaR就等于asset1的，也就是23.3 。61.6-23.3，才是拿走了asset2对组合的影响。

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