问题如下:
We can use VAR to design better investment guidelines because :
I. VAR limits are comparable across assets.
II. VAR can supplement notional limits
选项:
A. I only.
B. II only
C. Both I and II.
D. Neither I nor II.
解释:
C is correct.
考点:Monitoring Risk With VAR
解析:statement I正确,VAR limits 在不同的资产类别之间具有可比性。statement II正确,只考虑对头寸的限制是不足的,头寸限制过于简单且可能无效,VAR可以补充notional limits的不足。
知识点对应哪里 麻烦感谢