开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)|3.2.5(安卓)APP下载

金融民工阿聪 · 2021年03月31日

感觉不对啊

NO.PZ2018122701000015

问题如下:

Which of the following descriptions of the volatility-weighted historical simulation approach is the most accurate?

选项:

A.

Adjustments need to be made to the calculation of historical returns, as well as to the calculation of the VaR.

B.

Adjustments need to be made to the calculation of historical returns, but the method of calculating VaR remains unchanged.

C.

Adjustments need to be made to the calculation of current period return, as well as to the calculation of the VaR.

D.

Adjustments need to be made to the calculation of current period returns, but the method of calculating VaR remains unchanged.

解释:

B is correct.

考点 : volatility-weighting method

解析:用volatility-weighting的方法对历史收益进行调整,比如现在波动率是10%,过去是5%,那过去的收益率要调整成10%/5%*原来的收益;计算VaR值的方法不变,用前述方法调整完后再排序。

这个方法的话,就是为了使得计算的VAR能够超越data啊,怎么VAR不变呢

2 个答案
已采纳答案

袁园_品职助教 · 2021年03月31日

同学你好!

这里有没有the method of 意思是差不多的

A不对是因为VaR是该怎么算还是怎么算,只是根据volatility 调整了historical return

袁园_品职助教 · 2021年03月31日

同学你好!

是计算VaR值的方法不变

the method of calculating VaR remains unchanged

  • 2

    回答
  • 0

    关注
  • 518

    浏览
相关问题