问题如下:
The risk management group estimates the 1-day 99% VaR on a long-only, large-cap equity portfolio using a variety of approaches. A daily risk report shows the following information:
1-day 99% VaR Estimates (by approach):
• Delta-Normal VaR: USD 441,940
• Monte Carlo Simulation VaR: USD 473,906
• Historical Simulation VaR: 495,584
Which of the following is the most likely explanation for the variation in VaR estimates?
选项:
A.Data problems
Differences in model assumptions
C.Endogenous model risk
D.Programming errors
解释:
Explanation: VaR measures will vary according to the
approach (delta-normal, historical simulation, Monte Carlo simulation). The
variation in these values does not suggest bigger problems with data or
programming/implementation nor is there any reason to suspect endogenous model
risk (e.g., traders gaming the system to lower risk values).
HS方法最大,说明其他两个模型估计的小于真实值,因为是大盘股,应该data 没有problem不选A ,C说的内生这玩意只在流动性风险哪里见过,为啥就不能是D,programming error很讲道理啊,moody不就是直接给了个错误的给了个AAA评级吗,为啥就选B 了