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410140980 · 2022年09月29日

outright position是什么意思

NO.PZ2016070202000018

问题如下:

Which of the following statements about VAR estimation methods is wrong?

选项:

A.

The delta-normal VAR method is more reliable for portfolios that implement portfolio insurance through dynamic hedging than for portfolios that implement portfolio insurance through the purchase of put options.

B.

The full-valuation VAR method based on historical data is more reliable for large portfolios that contain significant option-like investments than the delta-normal VAR method.

C.

The delta-normal VAR method can understate the true VAR for stock portfolios when the distribution of the return of the stocks has high kurtosis.

D.

Full-valuation VAR methods based on historical data take into account nonlinear relationships between risk factors and security prices.

解释:

Full-valuation methods are more precise for portfolios with options, so answers B and D are correct. The delta-normal VAR understates the risk when distributions have fat tails, so answer C is correct. Answer A is indeed wrong. The delta-normal method will be poor for outright positions in options, or their dynamic replication.

老师解析中的outright position是什么意思

1 个答案

李坏_品职助教 · 2022年09月29日

嗨,努力学习的PZer你好:


outright本意是完全的、彻底的,这句话的意思是传统的delta-normal方法计算的VaR,在一些完全由期权组成的资产组合上,表现的比较差。因为期权是非线性收益,不适合用delta-normal计算VaR。

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