题目
Consider the following levels of sophistication in Risk Management Models and Procedures: I. Mark to Market Analysis II. Stress/Scenario Analysis III. Simulation Value at Risk IV. Parametric Value at Risk. Which of the following lists these models in order of increasing sophistication?
选项
A.II, I, IV, III
B.I, IV, III, II
C.I, II, III, IV
D.I, III, IV, II
答案
B
解析
The most basic approach to risk management is mark to market; Parametric VaR is theoretically clean. Simulation VaR is intuitively attractive, and stress/scenario analysis identifies and teats the assumptions of VaR.风险管理的最基本方法是标记市场。 参数VaR在理论上是干净的。 仿真VaR具有直观的吸引力，压力/场景分析可以识别和验证VaR的假设