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Churning · 2021年02月25日

老师问下这道题的选项

NO.PZ2020021601000011

问题如下:

Ivan Paulinic, an analyst at a large wealth management firm, meets with his supervisor to discuss adding financial institution equity securities to client portfolios.

Paulinic gathers data on three national banks that meet initial selection criteria but require further review.

Focusing on N- bank and T- bank, Paulinic prepares the following data.

Based only on Exhibit 3, Paulinic should conclude that:

选项:

A.

trading activities are riskier at T- bank than N- bank.

B.

trading revenue per unit of risk has improved more at N- bank than T- bank.

C.

compared with duration, the metric used is a better measure of interest rate risk.

解释:

B is correct.

Trading revenue per unit of risk can be represented by the ratio of annual trading revenue to average daily trading value at risk (VaR) and represents a measure of reward- to- risk. The trading revenue per unit of risk improved at N- bank (from 134× to 160×) between 2016 and 2017, and there was no change at T- bank (80×). VaR can be used for gauging trends in intra- company risk taking.

老师 问下 A是什么意思 表格第一行指标的average daily VaR是代表什么意思呢

2 个答案
已采纳答案

纠纠_品职答疑助手 · 2021年02月28日

嗨,从没放弃的小努力你好:


因为每个银行的资产规模是不一样的。average daily VaR大的不一定损失的比例高。

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加油吧,让我们一起遇见更好的自己!

纠纠_品职答疑助手 · 2021年02月26日

嗨,爱思考的PZer你好:


VaR 是value at risk,也就是一段时间内(在某个可能性下)最大损失数是多少。

average daily VaR 就是平均的每天的最大可能的损失。


这道题目表格里面的数字意思就是:

2017年平均来看,每天可能只有极小概率下是损失超过11.3 million。


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虽然现在很辛苦,但努力过的感觉真的很好,加油!

Churning · 2021年02月28日

那为什么不能看average daily VaR然后选A

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NO.PZ2020021601000011 问题如下 IvPaulinianalyst a large wealth management firm, meets with his supervisor to scuss aing financiinstitution equity securities to client portfolios. Paulinic gathers ta on three nationbanks thmeet initiselection criteria but require further review. Focusing on N- bank anT- bank, Paulinic prepares the following ta.Baseonly on Exhibit 3, Paulinic shoulconclu that: A.trang activities are riskier T- bank thN- bank. B.trang revenue per unit of risk himprovemore N- bank thT- bank. C.comparewith ration, the metric useis a better measure of interest rate risk. B is correct.Trang revenue per unit of risk crepresentethe ratio of annutrang revenue to average ily trang value risk (VaR) anrepresents a measure of rewar to- risk. The trang revenue per unit of risk improveN- bank (from 134× to 160×) between 2016 an2017, anthere wno change T- bank (80×). Vcusefor gauging tren in intrcompany risk taking.这道题易误选 A 说 T 银行的交易活动比 N 银行的风险更大,是想用表格第一行数据比较。V是 value risk,也就是一段时间内(在某个可能性下)最大损失数是多少。average ily V就是平均的每天的最大可能的损失。这道题目表格里面的数字意思就是2017 年平均来看,每天可能只有极小概率下是损失超过 11.3 million。但是不同银行之间,不能用 V来比较风险大小。因为每个银行的资产规模是不一样的。average ily V大的不一定损失的比例高。\"Vis not useful for assessing risk-taking activities between fferent companies\" 这个B是什么意思呢?

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