Falcon · 2020年02月06日
* 问题详情，请 查看题干
问题如下：
Which measure should McKee use to estimate the effect on Flusk’s VaR from Ming’s portfolio recommendation?
选项：
A.Relative VaR
Incremental VaR
Conditional VaR
解释：
B is correct. Incremental VaR measures the change in a portfolio’s VaR as a result of adding or removing a position from the portfolio or if a position size is changed relative to the remaining positions.
为什么选Incremental VaR？
NO.PZ201512181000007106 老师好， 一开始这道题我想选incrementVaR，但是后来看到relative VaR,想到它还有一个同义词叫ex-ante tracking error，就是对风险进行预估。我再看回题干，上面说prior of purchase，就是在买之前，去做这个评估。我觉得那更贴合relative VaR。 老师我哪里想的不对吗？谢谢
可是文中那边提示压力测试？所以应该选最后一个
IncrementVContionV B is correct. IncrementVmeasures the change in a portfolio’s Va result of aing or removing a position from the portfolio or if a position size is changerelative to the remaining positions. 含有option不是选relative VAR吗？
