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Lich · 2022年05月03日

为什么不选CVaR

  1. CFA III
  2. Fixed Income

* 问题详情，请 查看题干

NO.PZ202112010200002201

问题如下：

Which of the following VaR measures is most appropriate for the portfolio manager to use to evaluate how this position would affect portfolio tail risk?

选项：

A.

CVaR

B.

Relative VaR

C.

Incremental VaR

解释：

C is correct. The incremental VaR measures how the additional portfolio position would change the overall portfolio’s VaR measure.

No.PZ2021120102000022

来源: 原版书

An investor is considering the portfolio impact of a new 12-year corporate bond position with a $75 million face value, a 3.25% coupon, current YTM of 2.85%, modified duration of 9.887, and a price of 104.0175 per 100 of face value.

题号:

  • 1
  • 2

No.PZ202112010200002201

来源: 原版书

Which of the following VaR measures is most appropriate for the portfolio manager to use to evaluate how this position would affect portfolio tail risk?

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2 个答案
已采纳答案

pzqa015 · 2022年05月04日

嗨，爱思考的PZer你好：


CvaR衡量的是尾部平均风险，incremental Var衡量的是尾部的边际风险，也就是增加或减少一单位持仓带来的损失，只能用incremental VaR来衡量tail risk，这是固定结论，记一下吧

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

Carina9999 · 2022年05月05日

衡量tail risk，只能用incremental VaR吗？

pzqa015 · 2022年05月05日

嗨，爱思考的PZer你好：


是的

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

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