问题如下:
4.To comply with the new bank policy on risk assessment, which of the following is the best set of risk measures to add to the chief risk officer’s risk reporting?
选项:
A.Conditional VaR, stress test, and scenario analysis
B.Monte Carlo VaR, incremental VaR, and stress test
C.Parametric VaR, marginal VaR, and scenario analysis
解释:
A is correct.
The bank policy requires the addition of forward-looking risk assessments, and management is focused on tail risk. Conditional VaR measures tail risk, and stress tests and scenario analysis subject current portfolio holdings to historical or hypothetical stress events.
考点:VaR与其它风险衡量指标,概念的对比。
解析:要找的风险衡量指标需要满足两个要求:一是forward-looking risk assessments,二是focus on tail risk。
A选项:conditional VaR关注尾部风险;stress test和scenario analysis都是forward-looking的方法,因为可以假设未来发生的情况进行压力测试或者情节分析。
B选项:Monte Carlo VaR和stress test是forward-looking的方法,但是incremental VaR没有关注尾部风险,错。
C选项:scenario analysis是forward-looking的方法,但是parametic VaR主要是使用历史数据,同样marginal VaR没有关注尾部风险,错。
请问老师题目中也说到要look at historical risk characteristics,那用parametric VAR也可以啊?谢谢