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猫猫酱 · 2020年05月28日

组合管理

老师,能不能帮我解释下组合管理第二课课后题16和18呀?我不理解什么是surplus at risk以及"when historical simulation fully revalues securities under rate and price changes that occurred during the scenario period, the results should be highly accurate."这句话

1 个答案

丹丹_品职答疑助手 · 2020年05月31日

嗨,从没放弃的小努力你好:


同学你好,答案中有对概念进行解释:Surplus at risk is an application of VaR; it estimates how much the assets might underperform the liabilities with a given confidence level, usually over a year.surplus 是VAR的一个应用,研究的是在一定时间内一定置信区间下资不抵债的水平。Surplus at risk is an application
of VaR; it estimates how much the assets might underperform the liabilities with a given confidence level, usually over a year。课件的讲解如图


 


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努力的时光都是限量版,加油!


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