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
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
-------------------------------努力的时光都是限量版,加油!