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邹南🐰 · 2022年02月19日

双尾分布 单尾分布的概率数据需要背么 还是考试会提供？

  1. CFA III
  2. Fixed Income

NO.PZ2021120102000020

问题如下：

Which of the following strategies best addresses the liquidity risk of a less frequently traded bond position in an active manager’s portfolio?

选项：

A.

Enter into a receive fixed, pay floating asset swap, unwinding the swap position once the illiquid bond position is sold.

B.

Sell single-name CDS protection on the illiquid bond issuer, unwinding the CDS contract when the bond is sold.

C.

Allocate the illiquid bond to the buy-and-hold portion of the investment portfolio.

解释：

C is correct. Both A and B represent “long” risk positions that would increase rather than offset the benchmark yield and credit spread risk to the portfolio manager related to the illiquid bond.

双尾分布 单尾分布的概率数据需要背么 还是考试会提供？

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1 个答案

pzqa015 · 2022年02月19日

嗨，从没放弃的小努力你好：


一般情况下考试会提供。

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就算太阳没有迎着我们而来，我们正在朝着它而去，加油！

Shafengler · 2023年03月31日

求VAR的时候可能会用到，标准正态分布查表（单尾概率）： 0.5%,CV=2.576 1%，CV=2.326 2.5%，CV=1.960 5%，CV=1.645 10%，CV=1.282

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