Matcha2020-03-02 08:26:19

d选项不理解。delta-normal方式计算var，为什么需要均值和标准差？ Which of the following is not a required step in determining VaR for a fixed-income portfolio? A Determine the changes in the values of the market factors. B Decompose and map the portfolio. C Regress the portfolio value changes against those of an identical hypothetical portfolio to determine the appropriate market factors. D Compute the mean and standard deviation of the changes in the portfolio value.