金程問(wèn)答
A 是不是也沒(méi)錯(cuò)啊
為啥不選C呢
老師好，關(guān)于選項(xiàng)A，我不是很理解。我認(rèn)為當(dāng)時(shí)間越長(zhǎng)的時(shí)候，融資者會(huì)有更多的時(shí)間來(lái)進(jìn)行融資，這樣他的融資風(fēng)險(xiǎn)應(yīng)該是下降的。
Which of the following statements about the risk anomaly is TRUE? B. Due to time-varying reality, it is theoretically intractable to create a reproducible benchmark for either the low beta or low volatility risk anomalities such that empirical tests of the risk anomalities are not robust and the discussion remains "largely theoretical" C. The risk anomaly might be explained by investors who are leveraged constrained and/or have an "agency problem" created by a need to minimize tracking error with the benchmark. 想問(wèn)老師為什么B不對(duì)呢，答案是C
The investment Committee at your firm has a longstanding practice of weighing alpha, among other factors and criteria, in its evaluation of external managers. However, a member voiced concern about the reliablilty of alpha in the context of certain strategies with known non-linear payoffs.The committee wants to better evaluate manager alpha in light of these non-linear strategies.Which of the following is most viable? A. One approach to accounting for nonlinear payoffs is to include tradeable nonlinear factors. C. The easiest way to compute tradeable alpha in the case of nonlinear payoffs is to include nonlinear terms, in particular quadratic terms, on the right-hand side of the factor regression; for example, r^2(t) or max[r(t),0] 想問(wèn)下老師為什么C不對(duì) 另外，感覺(jué)二級(jí)的課能聽(tīng)懂但是做題準(zhǔn)確率實(shí)在和一級(jí)的時(shí)候差太遠(yuǎn)，感覺(jué)特別擔(dān)心呢。。。二級(jí)的題目看上去感覺(jué)都對(duì)。。。
課件66頁(yè)的duration2.733是怎么算出來(lái)的？謝謝！
信用風(fēng)險(xiǎn)第5課，第90分鐘左右，講義111頁(yè)那個(gè)表格，A表的顯示porfolio A，value大于1000000，那要讓B交抵押品，是775000，porfolioB value大于1000000，也要A交抵押品625000，對(duì)吧，雙邊netting一下才是B給A交150000，對(duì)吧，是這個(gè)意思嗎？
信用風(fēng)險(xiǎn)第5課里面53分鐘老師舉的這個(gè)·例子，若b和c之間不存在交易，也可以這樣netting？
請(qǐng)問(wèn)在within asset classes 中，要得到流動(dòng)性溢價(jià)是不是就是買入流動(dòng)性差的 ，賣出流動(dòng)性好的？ 比如 買入 off the run 賣出on the run
"The CAPM was revolutionary because it was the first cogent theory to recognize that the risk of an asset was not how that asset behaved in isolation but how that asset moved in relation to other assets and to the market as a whole. Before the CAPM, risk was often thought to be an asset's own volatility. The CAPM said this was irrelevant and that the relevant measure of risk was how the asset covaried with the market portfolio--the beta of the asset." What else does he say is true about the CAPM? A.CAPM is known to be a spectacular failure with respect to its predictive power. B.Neither finance professors nor CFO employ CAPM C. Equilibrium asserts that factors are temporary because arbitrageurs eventually eliminate factors. D. Investors make very different predictions about asset returns, variances and correaltions; equilibrium is theory that says this diversity of beliefs is reconciled via the market price mechanism of supply and demand.請(qǐng)老師解釋下這題，謝謝！
想問(wèn)下課件中計(jì)算incremental var 用的等式中用的是MVaR乘以W 這個(gè)W是指什么？它和計(jì)算CVaR中MVaR乘的V有什么區(qū)別？
如果總體的話肯定是有分散效應(yīng)的，但是這道題問(wèn)的是組合中單個(gè)資產(chǎn)的component var 和individual var 的區(qū)別啊，就組合里的單個(gè)資產(chǎn)怎么會(huì)有分散化的效應(yīng)？
老師好， 請(qǐng)介紹一下Arbitrage CDOs 和 Balance sheet CDOs， 似乎ppt上沒(méi)講過(guò)啊。
信用風(fēng)險(xiǎn)管理里面第4節(jié)課算cva的時(shí)候沒(méi)有乘survival rate，算bcva的時(shí)候就要乘了呢
老師新年好！我想問(wèn)下這個(gè)利率二叉樹(shù)的這里，按照利率折現(xiàn)債券的價(jià)格和你算的不一樣呀！
程寶問(wèn)答
