CFA二级2017PM 59

@香蕉树上的考拉

risik budgeting指得是风险的（最优）分配，无论是分给部门还是分给产品。“a 5-day, 1% VaR limit of $10 million”就是风险的分配的一种情况。

Scenario的问题已经回答过了，scenario指的是一个特定的场景出现，特意举了几个例子，例如通货膨胀突然上升，利率突然下降，汇率突然大部波动等等。这些才是场景，很明显和亏了钱就做hedge不是一回事。亏了钱不算是一种场景

亏了钱就止损/做hedge是stop-loss limit的应用。

同学你好，

题干说明：

Alexander drafts an updated risk management policy to present to the investment committee. The goal of this policy is to ensure that the fund limits the likelihood of severe downside losses for investors.
“The multi-asset fund has a 5-day, 1% VaR limit of $10 million, and the fund will undertake hedging activities, including the purchase of protective put
options, if its cumulative 30-day loss ever exceeds $15 million. In addition, the magnitude of the hedge shall be designed to increase as losses increase.

这里面的“a 5-day, 1% VaR limit of $10 million”就是一个risk budgeting的描述。

Senario指的是一个特定的场景出现，要采取什么样的措施。例如通货膨胀突然上升，利率突然下降，汇率突然大部波动等等，这道题的描述里面没有这种关于场景的描述。