开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)|3.2.5(安卓)APP下载

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。

  • 1

    回答
  • 0

    关注
  • 470

    浏览
相关问题

NO.PZ2019042401000009 问题如下 There are severstatements with respeto computing incrementVaR,comparing to computing marginVaR: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.Whiof the following is correct: A.Both I anIII. B.Both II anIII. C.Both II anV. Both I anV. is correct. 考点incrementV与marginVaR解析首先,IncrementV=( VARp+- VARp,计算incrementV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marginVaR相比,以完全重估的方式重新计算incrementVAR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。因此确。 如题

2024-10-26 17:17 1 · 回答

NO.PZ2019042401000009 问题如下 There are severstatements with respeto computing incrementVaR,comparing to computing marginVaR: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.Whiof the following is correct: A.Both I anIII. B.Both II anIII. C.Both II anV. Both I anV. is correct. 考点incrementV与marginVaR解析首先,IncrementV=( VARp+- VARp,计算incrementV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marginVaR相比,以完全重估的方式重新计算incrementVAR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。因此确。 请问这个知识点是不是被删了,新讲义里没看到

2023-02-25 17:59 1 · 回答

NO.PZ2019042401000009 计算IncrementVar较高的成本体现在哪里?

2021-04-05 15:27 1 · 回答

NO.PZ2019042401000009 虽然这里说的IVAR是要进行 full revaluation的,但是实际我看我们考试试题都是用MVAR*Increment来求出近似的IVAR就OK了是吗

2021-03-28 00:40 1 · 回答