Liu
2020-09-09 22:59關(guān)於Market risk百題, page 15-34, question 31. Why answer A shorter time period and answer D lower confidence level are not the correct answers? As we know lower confidence level and greater multiplier and shorter time period can solve the issue in order to have a significant backtesting result.
所屬：FRM Part II > 市場風(fēng)險測量與管理 視頻位置 相關(guān)試題
來源： 視頻位置 相關(guān)試題
1個回答
Crystal助教
2020-09-10 18:34
該回答已被題主采納
同學(xué)你好，請將百題的截圖貼一下謝謝，我的百題和你的不一樣。
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追問
here is the question, thanks
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追問
關(guān)於market risk百題, page 27-54 question q 58. why do we just need to discount the face value by year 1 - 7% and 5% only,
why only 1 step is needed? 1/2(1/ 1.07)＋1/2(1/1.05)/1.06 why do not need to discount by 2 steps, from year 2 - 8% and 6% in the upper node and then 6% and 4% in the lower node and further discount upper node year 2 value by year 1 7% and lower node year 2 value by year 1 5% to find the face value? (formula shown as below)
upper node: 1/2(1/1.08) ＋ 1/2(1/1.06) = (x) AND
lower node: 1/2(1/1.06) ＋ 1/2(1/1.064) = (y) why the final answer is not (1/2(x) ＋ 1/2(y))/1.06? -
追問
關(guān)於Credit risk百題, question 41, page 21-76,
question 1: what is the meaning of unconditional PD 1% in this question? for what purpose?
question 2: the answer mentions that (-2.33-(-0.4))/0.9165 should be = -2.158, why the answer is 1.8% ?
question 3: what if the question is changed to "unconditional PD 3% or 4%" , then what will be the new formulas to find the new answers? Thanks : ) -
追答
同學(xué)你好，信用風(fēng)險的百題你需要重新選擇科目提問哈，我這邊只回答市場風(fēng)險的題目。
31題
這個題目說的是由于使用日間交易數(shù)據(jù)會產(chǎn)生一些問題，現(xiàn)在想要消除這些問題應(yīng)該怎么辦，最直接的解決方法就是不用日間交易數(shù)據(jù)，其他的都不是什么直接的方法，而且還容易造成別的什么問題。
59題
因為這里面?zhèn)且粋€兩年期的債券，所以只需要兩個利率。8,6,4都是第三年的利率，所以對于兩年的債券來講，是用不上的。
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