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