李同學(xué)
2019-04-29 20:54老師 這個(gè)return on economical capital 200*10%=2million 是怎么體現(xiàn)的。題目中寫(xiě)的哪里體現(xiàn)出是收益呢？
所屬：FRM Part II 視頻位置 相關(guān)試題
來(lái)源： 視頻位置 相關(guān)試題
1個(gè)回答
Wendy助教
2019-04-30 17:39
該回答已被題主采納
同學(xué)你好
Risk analysis of unexpected losses associated with the portfolio tell us we need to set aside economic capital of $200 million against the portfolio;可知EC=$200 million
the risk-free rate on government securities is only 1%可知投資收益率是1%
所以return on economical capital 200*10%=2million
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