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jiangnan0214 · 2020年02月03日

问一道题:NO.PZ201812170100000204

* 问题详情,请 查看题干

问题如下:

Based only on Exhibit 3, Paulinic should conclude that:

选项:

A.

trading activities are riskier at T- bank than N- bank.

B.

trading revenue per unit of risk has improved more at N- bank than T- bank.

C.

compared with duration, the metric used is a better measure of interest rate risk.

解释:

B is correct.

Trading revenue per unit of risk can be represented by the ratio of annual trading revenue to average daily trading value at risk (VaR) and represents a measure of reward- to- risk. The trading revenue per unit of risk improved at N- bank (from 134× to 160×) between 2016 and 2017, and there was no change at T- bank (80×). VaR can be used for gauging trends in intra- company risk taking.

请问第一个选项为什么不正确?

1 个答案

Olive_品职助教 · 2020年02月04日

嗨,从没放弃的小努力你好:


VaR可以用来看一个公司风险的变化趋势,但是不适用于不同公司之间的比较。我把原版书相关内容贴上来,你可以看一下,我们课上也讲过这个结论。


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