金程問(wèn)答
請(qǐng)問(wèn)一下， 這道題的A說(shuō)的Common Equity Tier 1 是基于巴塞爾1還是巴塞爾3額？ 舊的是大于4.5%，新的不是要加多2.5%為7%嗎? 而題目又說(shuō)2015年。應(yīng)該是使用巴塞爾3的吧？
老師，請(qǐng)講一下FX swap和cross-currency swap的區(qū)別，他們互換的分別是什么東西
standardized approach 能給個(gè)具體的說(shuō)法嗎？基礎(chǔ)班課程中寫(xiě)了一個(gè)表達(dá)式，是有相關(guān)系數(shù)的，為什么這里都說(shuō)沒(méi)有考慮分散化？
利率的上升 對(duì)asset和liability都是負(fù)的影響嗎
C選項(xiàng)為什么錯(cuò)?。苛硗?，D選項(xiàng)，彈性和 risk appetite有什么聯(lián)系呢？
麻煩老師再解釋一下4個(gè)選項(xiàng)。
這道題目可以解釋一下么
信用風(fēng)險(xiǎn)的課程里不是說(shuō)的計(jì)算expected loss不考慮違約相關(guān)性么
61 單選題 標(biāo)記收藏糾錯(cuò) ABC, an automobile parts supplier, has made an offer to acquire EFG, creator of software for airline industry. The offer is to pay EFG’s shareholders the current market value of their stock in ABC’ stock. Both companies believe there will be synergies from this acquisition. Mikey, CRO of ABC, pointed that the liquidity of the market maybe but not necessarily extremely worsen in the near future though the synergies could enhance the competitiveness of company. On Mikey’s view, the ABC equity options would exhibit which of the following volatility traits? 哪倆個(gè)lognormal，協(xié)同效應(yīng)是什么意思？股票價(jià)格被收購(gòu)影響，但是波動(dòng)率是怎么收到影響的呢？
老師，視頻里講的是雙尾的啊，為什么答案寫(xiě)的單尾的，怎么判斷呢
有點(diǎn)不理解statement2，單從Vasicek的表達(dá)式來(lái)看對(duì)于波動(dòng)率的計(jì)算與Model1是相同的，都是σdw呀，感覺(jué)沒(méi)有反映出波動(dòng)率隨時(shí)間變小的趨勢(shì)。請(qǐng)問(wèn)該怎么理解呢？
Cov n為什么這么算呀
C選項(xiàng)，如果投機(jī)者是short call，那損失也是無(wú)限的呀
選項(xiàng)A中“ a weighted average of the quantiles of the loss distribution where the weights are user-specific based on individual risk aversion”是spectral risk measure的定義吧？
B項(xiàng)應(yīng)該是basel2的要求吧，basel3沒(méi)有提到??？另外C怎么錯(cuò)了？另外，視頻里的題目和題庫(kù)中的題目選項(xiàng)不一致
程寶問(wèn)答
