var不是没有次可加性吗?为什么可以diversified
问题如下图:
选项:
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解释:
NO.PZ2018122701000044 问题如下 Unr these assumptions - in particular: a flat yielcurve anconstant yielvolatility of 1.0% - why cwe expecash flow mapping to proa lower versifieVtheither ration anprincipal mapping? The risk measures are non-linear. e to imperfecorrelations between pairwise risk factors. Fewer totcash flows will mappe We cannot expea lower versifieVaR. B is correct. 考点 : Mapping to FixeIncome Portfolios 解析 : The versifieVis lower e to two factors. First, risk measures are not perfectly linewith maturity. Secon correlations are below unity, whireces risk even further. 如题
NO.PZ2018122701000044问题如下 Unr these assumptions - in particular: a flat yielcurve anconstant yielvolatility of 1.0% - why cwe expecash flow mapping to proa lower versifieVtheither ration anprincipal mapping? The risk measures are non-linear. e to imperfecorrelations between pairwise risk factors. Fewer totcash flows will mappe We cannot expea lower versifieVaR. B is correct. 考点 : Mapping to FixeIncome Portfolios 解析 : The versifieVis lower e to two factors. First, risk measures are not perfectly linewith maturity. Secon correlations are below unity, whireces risk even further. 老师好,请问这个b说的是后面会提到的component risk吗?然后还想问一下课堂上说的convexity是指三种mapping都会遇到的还是就第二种ration mapping跟麦考利久期有关才是呈现凸性呢?谢谢!
NO.PZ2018122701000044 问题如下 Unr these assumptions - in particular: a flat yielcurve anconstant yielvolatility of 1.0% - why cwe expecash flow mapping to proa lower versifieVtheither ration anprincipal mapping? The risk measures are non-linear. e to imperfecorrelations between pairwise risk factors. Fewer totcash flows will mappe We cannot expea lower versifieVaR. B is correct. 考点 : Mapping to FixeIncome Portfolios 解析 : The versifieVis lower e to two factors. First, risk measures are not perfectly linewith maturity. Secon correlations are below unity, whireces risk even further. versifieV是指什么?是不是只有Mapping 才有versifieVaR, 因为只有Mapping考虑multiple risk factors?
NO.PZ2018122701000044 e to imperfecorrelations between pairwise risk factors. Fewer totcash flows will mappe We cannot expea lower versifieVaR. B is correct. 考点 Mapping to FixeIncome Portfolios 解析 The versifieVis lower e to two factors. First, risk measures are not perfectly linewith maturity. Secon correlations are below unity, whireces risk even further. mapping 难道不是一定大于本金mapping的吗 为什么会小 题干对sigma的描述说明了什么
NO.PZ2018122701000044