[{"data":1,"prerenderedAt":-1},["ShallowReactive",2],{"$fUrqh1qgPuYgL7TmSwHsG3jCqobajlFG-vhlVS7wME_8":3},{"answer":4,"createTime":5,"id":6,"options":7,"origin":12,"question":19,"related":20,"source":30,"type":31},[],"2023-06-07 20:03:47",51713474,[8,9,10,11],"适当的分散化可以减少或消除系统性风险","分散化减少投资组合的期望收益率,因为它减少了投资组合的总体风险","当把越来越多的证券加入到投资组合时,总体风险一般会以递减的速率下降","除非投资组合包含了至少30只以上的个股,分散化降低风险的效果不会充分体现",{"count":13,"courseId":14,"courseImg":15,"courseName":16,"workId":17,"workName":18},11,"a7239c2884de689c217c283fbd95e15f","https:\u002F\u002Ftihai-oss-cloud.itihey.com\u002Fimg\u002F5a10294105b5b1a8d8b96ec4b080df29.jpg","金融风险管理","work_27876323","第七次作业","下列对投资组合分散化的说法描述正确的是",[21,32,41,50,59,68,77,86,95,104],{"answer":22,"createTime":5,"id":23,"options":24,"question":29,"source":30,"type":31},[],51713465,[25,26,27,28],"需要繁杂的电脑技术和大量的复杂抽样","涵盖非线性资产头寸的价格风险、波动性风险","对于代表价格变动的随机模型,若是选择不当,会导致模型风险的产生","模拟所需的样本数必须要足够大,才能使估计出的分布得以与真实的分布接近","以下哪个不是蒙特卡罗模拟法的缺点","v1",0,{"answer":33,"createTime":5,"id":34,"options":35,"question":40,"source":30,"type":31},[],51713466,[36,37,38,39],"低估真实的VaR","与真实的VaR相同","高估真实的VaR","不能从提供的信息中确定","在存在肥尾的收益分布中,VaR基于delta正态分布方法(对于线性投资组合)",{"answer":42,"createTime":5,"id":43,"options":44,"question":49,"source":30,"type":31},[],51713467,[45,46,47,48],"如果资产之间的风险不存在相关性,分散化策略将不会有风险分散的效果","如果资产之间的相关性为-1,风险分散化效果较差","如果资产之间的相关性为+1,风险分散化效果较好","如果资产之间的相关性为正,那么风险分散化效果较好","下列关于风险分散化的论述正确的是",{"answer":51,"createTime":5,"id":52,"options":53,"question":58,"source":30,"type":31},[],51713468,[54,55,56,57],"方差协方差法和历史模拟法","历史模拟法和蒙特卡洛模拟法","方差协方差法和蒙特卡洛模拟法","方差协方差法,历史模拟法和蒙特卡洛模拟法","方差协方差法、历史模拟法和蒙特卡洛模拟法计算VaR值时,能处理收益率分布中存在的"肥尾"现象的是",{"answer":60,"createTime":5,"id":61,"options":62,"question":67,"source":30,"type":31},[],51713469,[63,64,65,66],"409 339","396 742","345 297","334 186","考虑下列单一债券头寸,现值为10百万美元,修正久期为3.6年,利率的年波动率为2%,假设债券头寸的日回报率呈独立的正态分布,利用久期方法计算该头寸在99%置信水平下,10天展望值VaR,假设一年内有252交易日",{"answer":69,"createTime":5,"id":70,"options":71,"question":76,"source":30,"type":31},[],51713470,[72,73,74,75],"缺少方差-协方差矩阵的信息","期权一般是短期金融工具","期权收益存在非线性","在现实生活中,Black-Scholes的假设是不合理的","为何一阶正态近似法不适用于计算期权组合的风险",{"answer":78,"createTime":5,"id":79,"options":80,"question":85,"source":30,"type":31},[],51713471,[81,82,83,84],"在95%的时间里,投资组合的日损失将超过100万美元","在95%的时间里,投资组合的日损失不会超过100万美元","投资组合的最大损失在任何时间点都是100万美元","95%的风险经理会同意投资组合的最大损失将是100万美元","一个风险经理声明投资组合的VaR在95%的置信区间和1天的持有期是100万美元.下列哪个陈述是正确的",{"answer":87,"createTime":5,"id":88,"options":89,"question":94,"source":30,"type":31},[],51713472,[90,91,92,93],"Delta, Vega, Rho","Vega, Rho","Delta, Vega, Gamma, Rho","Delta, Vega, Gamma, Theta, Rho","如果风险定义为潜在的意外损失,哪些因素会导致做空看涨期权头寸的风险",{"answer":96,"createTime":5,"id":97,"options":98,"question":103,"source":30,"type":31},[],51713473,[99,100,101,102],"方差-协方差方法","Delta-Gamma方法","历史模拟法","蒙特卡洛模拟法","哪一种计算VaR的方法在计量期权风险时的有效性最低",{"answer":105,"createTime":5,"id":6,"options":106,"question":19,"source":30,"type":31},[],[8,9,10,11]]