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nothing107 · 2020年03月05日

问一道题:NO.PZ201812170100000204

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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.

老师,您好。annual trading revenue/average daily trading VaR这个指标是否可以理解为每一单位trading对应的trading VaR,数值越大,说明每一单位trading revenue对应的average daily trading VaR越小,交易活动风险越低,如果这样理解,似乎A也是对的。

1 个答案
已采纳答案

纠纠_品职答疑助手 · 2020年03月06日

同学你好:

VaR这个指标因为每家银行计算的百分位点不一样(有的是99%,有的是95%),模型不一样,所以两家公司间的比较是没有意义的,只有公司内部自己和自己比VaR有意义。

B之所以对,是因为它是比自己有没有进步,是自己比自己两年的数字,结果发现N银行进步了,但T银行没变,所以得出N比T进步大的结论。并不是同一年比两个公司。

加油!