NO.PZ2018053101000044
问题如下:
Which is not true of mark-to-model valuations?
选项:
A. Return volatility may be understated.
B. Returns may be smooth and overstated.
C. A calibrated model will produce a reliable liquidation value.
解释:
C is correct. It is not true that a calibrated model will produce a reliable liquidation value in a mark-to-model valuation. The need to use a model for valuation arises when an asset is so illiquid that there are not reliable market values available. A model may reflect only an imperfect theoretical valuation, not a true liquidation value, should liquidation become necessary. The illiquid nature of alternative assets means that estimates, rather than observable transaction prices, may have been used for valuation purposes.
A and B are not correct because they are both true statements.
不知道考察的是哪个知识点