Level III Sample exam的一些问题讨论 如何, provide, 大

julia777

Sample 1，Q7

 

Viganette里说：Switching to a 99% confidence level (from 95%) would provide a less conservative VAR.

Conservative 如何理解？更小，更保守？那Less conversative就是更大？

[此贴子已经被作者于2009-5-23 13:09:05编辑过]

julia777

Sample 1，Q9

 

题目问：key advantages of analytical method (estimating VAR)

选项3，ability to incorporate optionality into the analysis. Optionality是指什么？是Monte Carlo method 里面设定不同假设的optionality吗？

xuxu1980

回1楼：Switching to a 99% confidence level (from 95%) would provide a more conservative VAR， 因为99%对应的值更大。不过Q7 问的是the meaning of the current VAR measure,所以只cover这段话的前半部分，前半部分是对的。

回2楼：ability to incorporate optionality into the analysis是指可以deal with nonnormality，因为option通常是不normal的。However, one of assumptions of the analytical method is normal distribution.

回3楼：the first sentence of the last paragraph in viganette says that the bank has the short position.

个人观点，仅供参考。