问题如下:
Portfolio manager X uses a one-day 1% VaR to assess the risk of his portfolio. It is known that the market condition has changed due to the economic policy, and the market volatility becomes higher than before. Assume the market volatility will continue, to estimate the portfolio VaR, manager X should choose:
选项: A. parametric method
B. historical simulation method
C. Monte Carlo simulation method
解释:
C is correct.
考点:Monte Carlo simulation VaR
解析 : Monte Carlo simulation的优点就是灵活 , 它可以解决复杂的概率分布 , 并将基金经理对未来的假设与当前的收益和风险相结合 。 由于目前的市场波动 , 导致历史数据已经不能够很好的预测未来 , 所以historical simulation method也是不能使用的 。
老师,蒙特的方法不是随机发射么? 为什么说随机发射的就符合现在的呢? 我记得老师讲bond那个章节画的蒙特的图, 左边发射,一路轨迹,到右边,最后那个图长的也正太分布呢?