NO.PZ2020042003000026
问题如下:
To unwind a large position, which of the
following statements is NOT correct?
选项:
A. If the position is unwound
quickly, the trader will face large bid–offer spreads, but the potential loss
from the mid-market price moving against the trader is small.
When Deciding how to liquidate a large
position over an n-day period, a trader might reasonably wish to minimize VaR
after trading costs have been considered
When a position is to be closed out over n
days, more than 1/n of the position should be traded on the first day
when
unwind a large position over n days, As the VaR confidence level is reduced,
the amounts traded per day show more variability.
解释:
考点:对Liquidity Trading Risk的理解
答案:选项D描述错误,因此本题选D。
解析:
关于D选项,正确的表述为:As the
VaR Confidence level is reduced, the amounts traded per day show less
variability.
也就是当Confidence level降低时,每日“最优交易量”之间的差距会变小。
D 选项原理解释一下。谢谢