问题如下:
To monitor risk in a large firm with many types of managers:
I. VaR is useful to detect rogue traders.
II. VaR is not useful to detect rogue traders.
III. VaR can measure the effect of changes in benchmark characteristics on risk.
V. VaR is not useful to monitor risk in large firms.
Which of the following is correct:
选项:
A.Both I and III.
B.Both II and III.
C.Only I.
D.Only V.
解释:
A is correct.
考点:Monitoring Risk With VAR
解析:VAR是大公司进行风险监控的重要指标,它可以帮助识别流氓交易员,它可以检测基准特征变化而带来的风险变化。因此statement I 正确,II 错误,III 正确, V错误。因此选项A正确。
为什么容易监控rogue trader啊,rogue trader是极少数情况啊,VaR应该很难预测吧,特别是以历史数据为基础做出来的,用假设分布的如果setting的分布和事实不一样,不也难监控吗,一般只有东窗事发后才会发现流氓是流氓啊