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
B. Incremental VaR
C. 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.