Matcha
2020-03-02 08:26d選項不理解。delta-normal方式計算var，為什么需要均值和標(biāo)準(zhǔn)差？ Which of the following is not a required step in determining VaR for a fixed-income portfolio? A Determine the changes in the values of the market factors. B Decompose and map the portfolio. C Regress the portfolio value changes against those of an identical hypothetical portfolio to determine the appropriate market factors. D Compute the mean and standard deviation of the changes in the portfolio value.
所屬：FRM Part II 視頻位置 相關(guān)試題
來源： 視頻位置 相關(guān)試題
1個回答
Cindy助教
2020-03-02 19:16
該回答已被題主采納
同學(xué)你好，VaR=|U-Z*sigma|,這里的U就是均值mean,sigma就是標(biāo)準(zhǔn)差，標(biāo)準(zhǔn)差就是方差開根號，如果是用參數(shù)法計算VaR值的話，這兩個參數(shù)是肯定需要用到的呀
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