Neptune.C
2018-10-24 21:03老師你好，能給我講一下policy-mix risk,active management risk,funding risk,sponsor risk這四種的區(qū)別嗎？我分不清
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
Crystal助教
2018-10-25 17:56
該回答已被題主采納
The absolute risk can be broken down into two components, one is the policy mix risk, the other is active management risk.
Policy mix risk: the policy mix risk is the risk of a dollar loss owing to the policy mix selected by the fund.
Active management risk: the active management risk is the risk of a dollar loss owing to the total deviations from the policy mix.
-
追答
Funding risk is the risk that assets values will not be sufficient to fund the liabilities.
Funding risk should be measured as the potential shortfall in surplus over the horizon, this is sometimes called surplus at risk.
The sponsor is the owner of the fund, who is ultimately responsible for the pension fund.
The sponsor risk is measured both the movements in the assets, or even the surplus, and the ultimate effect on the economic value of the firm.
0
0
0
0
