答案是错的 不能选III vertical 是指X不同 但是T相同

The measurement error in VaR due to sampling variation should be greater with:Fewer observations and a high confidence level(e.g. 99%) 老师您好！我想问一下为什么置信度水平越高越容易有偏差？置信度水平很高，区间也就很大，这样包含正确的VaR值的可能性就会增加，为什么这里说更可能有误？

Consider a stock portfolio consisting of two stocks with normally distributed returns. The joint distribution of daily returns is constant over time and there is no serial correlation. Stock Epsilon has a market value of $100,000 with an annualized volatility of 22%. Stock Omega has a market value of $175,000 with an annualized volatility of 27%. Calculate the 95% confidence interval 1-day VaR of the portfolio. Assume a correlation coefficient of 0.3. Round to the nearest dollar assuming 252 business days in a year. The daily expected return is assumed to be zero. 老师您好！这道题能不能用视频里的方法讲一下？就是分别求出VaR1=Zα×σ×Pa，VaR2=Zα×σ×Pb，然后使用VaRp^2 = VaR1^2 + VaR2^2 + 2×ρ×VaR1×VaR2

老师，这道题固息说是两年期，没有说半年复利一次，所以在第一次半年的时候收到浮动利息的时候，固息债还没有支付啊

The 2-year spot rate is 6.2%. Is there an arbitrage opportunity using these three bonds? If so, describe the trades necessary to exploit the arbitrage opportunity? 老师您好！我想问一下DV01、D*的正负号问题。 根据定义式，MacDur以及D*应该就是正的，只是由于债券价格与收益率反向关系所以加负号：ΔP=-D*×P×Δy 而DV01=D*×P×0.01%，视频中老师在计算DV01时加了绝对值，所以也应该是正的。 所以这道题应该选A。

为什么是more 不是less?

老师您好,能再解释一下为什么It is useful in simulating leptokurtic return distributions with fat tails. Notes2 240页 上有一句话，If GARCH models do a good job of explaining volatility changes, there should be very little autocorrelation in ui^2/sigma i^2. GARCH models appear to do a very good job of explaining volatility. 这句话应该怎么理解呢？

The 2-year spot rate is 6.2%. Is there an arbitrage opportunity using these three bonds? If so, describe the trades necessary to exploit the arbitrage opportunity? 老师你好！我想问一下，这道题里，第二个债券明显被高估了，为什么还会去买入它做套利？为什么不是只卖空第二只债券？

不是太能理解这道题目，这道题对冲的到底是什么呢？是需要对冲vega和theta吗？为什么答案中还考虑到了delta-netural？没看懂答案的分析～

答案错了吧，答案步骤里面没有加这一期的coupon，但是最后算出来是对的