金程問(wèn)答
A選項(xiàng)的表述不應(yīng)該是risk premium嗎？只說(shuō)market risk就可以了嗎？
這里的59 和 60題，為何算CAPM forecast不需要用Rf＋beta??（excess market return）？而是直接用beta0.8??6%？（59題，60同理）
習(xí)題冊(cè)139: a bank creates ABS from its pool of subprime mortgages. Subsequently, the bank created ABS CDO from the mezzanine tranche of the ABS. Each structured security has 3 tranches. The senior tranche of the ABS CDO has: C, lower risk than the equity tranches of both the ABS and ABS CDO D, lower risk than both the equity and mezzanine tranches of the ABS 這個(gè)題我之前提過(guò)一點(diǎn)，我再詳細(xì)記錄下：這里為何一下說(shuō)ABS一下說(shuō)ABS CDO，以及他們到底屬于三層的哪一層？有點(diǎn)暈，望解答
在Enron的案例中，aggressive accounting techniques should be highly scrutinized by investors, or the target company should be avoided as a potential investment.怎么理解
關(guān)于MG公司的案例中，liquidity considerations may require a hedge that is appropriate but not the theoretical minimum variance.這句話(huà)如何理解
在MG公司的案例中，there was a cash flow problem that constrained the company ability to fully execute the hedge already in place這句話(huà)如何理解？
在尼克里森的案例中，the Nikkei collapsed due to an earthquake這種說(shuō)法準(zhǔn)確嗎？
treynor比例是否具有前瞻性？那么他是否可以預(yù)測(cè)未來(lái)？
CAPM assumes that the market is the only source of covariance between returns和if we employ a procedure and identify more than one common factor, we can logically reject the CAPM.這兩句話(huà)如何錯(cuò)了？
ERM的基礎(chǔ)basis和一定要指派CRO有關(guān)嗎，還有和這句the silo approach to risk management is the optimal risk management strategy有關(guān)？這句話(huà)邏輯感覺(jué)很奇怪
the use of credit derivatives 難道不是造成金融危機(jī)的原因嗎，題目中說(shuō)的是要改為misuse，這是否過(guò)于文字游戲
risk appetite是公司不破產(chǎn)能承擔(dān)的最大風(fēng)險(xiǎn)，事實(shí)上，風(fēng)險(xiǎn)偏好需要集中于一個(gè)事情：one board，durable這句話(huà)為何錯(cuò)？感覺(jué)前半句是在描述risk tolerance？即能承擔(dān)多少風(fēng)險(xiǎn)這個(gè)意思；risk appetite應(yīng)該描述的是要承擔(dān)具體哪類(lèi)風(fēng)險(xiǎn)吧？這里概念不太清楚；；；還有感覺(jué)這個(gè)one board也不太對(duì)
the final step of the risk management process involves developing a risk mitigation strategy這句話(huà)哪里錯(cuò)了呢？最后一步是管理風(fēng)險(xiǎn)，管理風(fēng)險(xiǎn)里包含了避免、轉(zhuǎn)移、留存？
如何理解SML以下的任何資產(chǎn)or投資組合其實(shí)際的市場(chǎng)價(jià)格相較于CAPM得到的理論價(jià)格都是被高估的？反之亦反？
這個(gè)流程下來(lái)安然不就是在虧錢(qián)嗎？怎么會(huì)財(cái)報(bào)賺錢(qián)？
程寶問(wèn)答
