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?