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过儿 · 2022年04月27日

这题c错在哪里,谢谢

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.

我是根据a,b都对排除出的c,请问一下c是什么意思,考核的是哪个知识点,以及错在哪里,谢谢。我查了calibreate是校准的意思,感觉字面意思不理解为什么错

过儿 · 2022年04月27日

不用回答了,这题我研究了下答案大概知道了,应该就是liquid和illiquid的问题,谢谢

1 个答案

Lucky_品职助教 · 2022年04月28日

嗨,爱思考的PZer你好:


这是原版书一道例题,基础班有讲解。主要是讨论针对一些结构复杂的产品估值时,如果没有可参考市值,就用模型估值。同学了解即可

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