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Level III Sample exam的一些问题讨论

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]

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。

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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?

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