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还是星宇好 · 2020年10月07日

问一道题:NO.PZ2019052001000138

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

B.

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

1 个答案

品职答疑小助手雍 · 2020年10月07日

嗨,爱思考的PZer你好:


Programming errors的话。。。那就再去算一下验证一下就好啦,算错这种事情做题时候还是不要当成理由了,而且差异也不是特别大,模型之间假设不同产生的细微差异是正常的,算错的话可不好说。

所以还是选B相对正常一些。(鬼知道邀题的出题人会怎么出。。。)我们还是只防备一般性问题吧。防住了肯定能过


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