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Drink H · 2020年03月14日

问一道题:NO.PZ2019070101000107 [ FRM I ]

问题如下:

A risk manager is considering switching from using historical volatility to using implied volatility in VaR calculations. Which of the following statements about implied volatility is correct?

选项:

A.

Implied volatility estimates are model dependent and a misspecified model can result in erroneous forecasts.

B.

Implied volatility estimates require that historical returns are indicative of future returns.

C.

Implied volatility estimates tend to underestimate future volatility as a result of mean reversion.

D.

Implied volatility estimates are generally accurate even if there is only one trade in the option used to calculate an estimate.

解释:

B选项描述的是historical-based approach的特点,B错误。implied-volatility-based-approach中没有mean reversion的假设,C错误。D选项描述的情况,option value的估计就不靠谱,那么反求出来的implied volatility也肯定是不准确的,D错误。

A选项的后半句话怎么理解?
1 个答案

小刘_品职助教 · 2020年03月15日

同学你好,

Implied volatility是已知option value,根据模型来倒算出volatility。A选项的后一句话的意思是说,如果你选了错误的模型,那计算出来的volatility就是错误的。

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