如果是marginal var是不是也符合I
问题如下图:
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NO.PZ2019042401000009 问题如下 There are severstatements with respeto computing incrementVaR,comparing to computing marginVaR:I: it is nessary to compute with full revaluation.II: it is not nessary to compute with full revaluation.III: less costly, also less accurate.V: more costly, also more accurate.Whiof the following is correct: A.Both I anIII. B.Both II anIII. C.Both II anV. Both I anV. is correct. 考点incrementV与marginVaR解析首先,IncrementV=( VARp+- VARp,计算incrementV需要以完全重估的方式进行计算,即需要重新计算新的头寸下的VAR,因此statement I 说法正确。与计算marginVaR相比,以完全重估的方式重新计算incrementVAR会得到较准确的结果,但是会花费较高的时间和成本,因此statement V 说法正确。因此确。 如题
NO.PZ2019042401000009 问题如下 There are severstatements with respeto computing incrementVaR,comparing to computing marginVaR:I: it is nessary to compute with full revaluation.II: it is not nessary to compute with full revaluation.III: less costly, also less accurate.V: more costly, also more accurate.Whiof the following is correct: A.Both I anIII. B.Both II anIII. C.Both II anV. Both I anV. is correct. 考点incrementV与marginVaR解析首先,IncrementV=( VARp+- VARp,计算incrementV需要以完全重估的方式进行计算,即需要重新计算新的头寸下的VAR,因此statement I 说法正确。与计算marginVaR相比,以完全重估的方式重新计算incrementVAR会得到较准确的结果,但是会花费较高的时间和成本,因此statement V 说法正确。因此确。 请问这个知识点是不是被删了,新讲义里没看到
NO.PZ2019042401000009 计算IncrementVar较高的成本体现在哪里?
NO.PZ2019042401000009 虽然这里说的IVAR是要进行 full revaluation的,但是实际我看我们考试试题都是用MVAR*Increment来求出近似的IVAR就OK了是吗
老师好,这道题的I,如果按照IVaR的定义式,是需要full revaluation,但是如果按照从MVaR出发去求IVaR,不就不需要full revaluation了吗?