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sunny_6090 · 2018年10月15日

问一道题:NO.PZ2016070202000017 [ FRM II ]

问题如下图:

选项:

A.

B.

C.

D.

解释:

用排除法可以作对,那C为什么对呢?deltanormal和矩阵有什么关系?

1 个答案

orange品职答疑助手 · 2018年10月15日

同学你好,协方差矩阵可以衡量多个资产的方差,收益率也可以用矩阵(向量)来表示。只要他们的联合分布是服从正态分布,即使是多元正态分布,那也可以像计算单个资产的VaR一样来计量多个资产的VaR

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