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Roseline · 2020年06月14日

问一道题:NO.PZ2019042401000009

问题如下:

There are several statements with respect to computing incremental VaR,comparing to computing marginal VaR:

I:     it is nessary to compute with full revaluation.
II:    it is not nessary to compute with full revaluation.
III:   less costly,  also less accurate.
V:    more costly,  also more accurate.
Which of the following is correct:

选项:

A.

Both I and III.

B.

Both II and III.

C.

Both II and V.

D.

Both I and V.

解释:

D is correct.

考点:incremental VaR 与marginal VaR

解析:首先,Incremental VAR =( VARp+a) - VARp,计算incremental VaR 需要以完全重估的方式进行计算,即需要重新计算新的头寸下的VAR,因此statement I 说法正确。

与计算marginal VaR相比,以完全重估的方式重新计算incremental VAR会得到较准确的结果,但是会花费较高的时间和成本,因此statement V 说法正确。

因此选项D正确。

老师好,这道题的I,如果按照IVaR的定义式,是需要full revaluation,但是如果按照从MVaR出发去求IVaR,不就不需要full revaluation了吗?

1 个答案
已采纳答案

小刘_品职助教 · 2020年06月15日

同学你好,

用MVAR出发是计算不出精确的IVAR的,这个只能是个近似。

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