金程問(wèn)答
27 D 20times 0.05 =1 exception , where is 20 come from?
Q6 market risk distribution is normal distribution ? With symmetrical and no fat tail?
Q29 how can multi factor smaller than 3? Isn’t it suppose to be 3-4?
28b when we measure Worse case loss minus expected loss for unexpected loss on credit risk, we need to use correlation as well on measuring WCL, why is answer b incorrect. ?
Can u explain this question in Chinese In detail ?
Q 17 isn’t is Var do not hAve subaddictive features ? Why can’t they similar add together ?on answer D
If I need to reduce debt ratio , should I increase my leverage ratio to cover the debt?
ccyb不是1到3.5嗎？老師這里怎么說(shuō)0到2.5？
Answer D 是屬於那個(gè)Tier capital?
老師是不是應(yīng)該有一個(gè) 東西叫做required RAROC呀 因?yàn)?adjusted RAROC 其實(shí)不就是 CAPM 反推出一個(gè) rf嘛。。 那豈不是 我用 rf 來(lái)求出一個(gè) RAROC 進(jìn)行比較也可以 判斷 這個(gè)project可不可行嘛
求詳解
老師 這個(gè)exercise 里面 為什么是long-tailed to the right呢 我一下子有點(diǎn)轉(zhuǎn)不過(guò)來(lái)，
老師，?？季硪坏?6題的公式里SRC的置信水平和和時(shí)間是多少呢，謝謝。
CCB和CCyB有什么不同，感覺(jué)兩者都是在經(jīng)濟(jì)好的時(shí)候拿出一部分做緩沖
這個(gè)加入監(jiān)管機(jī)構(gòu)調(diào)整是什么意思，從數(shù)上看，是監(jiān)管調(diào)整之前的數(shù)減去監(jiān)管調(diào)整，得到最終的資本值，為什么這樣做
程寶問(wèn)答
