开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)｜3.2.5(安卓)APP下载

返回

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?

添加评论
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

----------------------------------------------
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

----------------------------------------------
虽然现在很辛苦，但努力过的感觉真的很好，加油！

  • 2

    回答

  • 1

    关注

  • 771

    浏览
相关问题

NO.PZ202112010200002201 问题如下 Whichof the following Vmeasures is most appropriate for the portfolio manager touse to evaluate how this position woulaffeportfolio tail risk? A.CV B.Relative V C.IncrementV C is correct. The incrementVmeasures how the aitionalportfolio position woulchange the overall portfolio’s Vmeasure. 老师好这个答案是不是给串了，题目写的是衡量尾部收益，答案给的是新增风险。

2024-05-23 19:44 2 · 回答

NO.PZ202112010200002201 问题如下 Whichof the following Vmeasures is most appropriate for the portfolio manager touse to evaluate how this position woulaffeportfolio tail risk? A.CV B.Relative V C.IncrementV C is correct. The incrementVmeasures how the aitionalportfolio position woulchange the overall portfolio’s Vmeasure. 增量V很明显是研究增加一个头寸 对整个组合产生的影响。 原文说研究的是尾部？ CV难道不是研究的是尾部的? 这个题出的也太扯了把，我感觉99%的人都会选CVAR

2023-05-23 23:52 2 · 回答

NO.PZ202112010200002201 问题如下 investor is consiringthe portfolio impaof a new 12-yecorporate bonposition with a $75million favalue, a 3.25% coupon, current YTM of 2.85%, mofieration of9.887, ana priof 104.0175 per 100 of favalue. Whichof the following Vmeasures is most appropriate for the portfolio manager touse to evaluate how this position woulaffeportfolio tail risk? A.CV B.Relative V C.IncrementV C is correct. The incrementVmeasures how the aitionalportfolio position woulchange the overall portfolio’s Vmeasure. 就算incremental看的是marginal的影响，CVaR是平均。那CVaR也可以衡量tail risk呀？为什么答案说只能选incrementVaR呢？

2022-08-31 22:28 1 · 回答

NO.PZ202112010200002201 问题如下 investor is consiringthe portfolio impaof a new 12-yecorporate bonposition with a $75million favalue, a 3.25% coupon, current YTM of 2.85%, mofieration of9.887, ana priof 104.0175 per 100 of favalue. Whichof the following Vmeasures is most appropriate for the portfolio manager touse to evaluate how this position woulaffeportfolio tail risk? A.CV B.Relative V C.IncrementV C is correct. The incrementVmeasures how the aitionalportfolio position woulchange the overall portfolio’s Vmeasure. relative Var什么时候适用？

2022-08-30 11:42 1 · 回答