老师，为什么90%显著性水平，VaR是7呢？谢谢！

HPR1为什么不是（2+2+15）/50？

计算Var值，什么时候使用VaR=mu·sigma·z，什么时候使用VaR=|mu-sigma·z|呢？

老师在这一题里介绍的第二种方法VaRp=VaRa+VaRb+VaRc是如何成立的呢？VaR值不是不满足次可加性原则吗

这两个图哪个是effective EE, 哪个是Effective EPE? 既然effective EE是non-decreasing. 其平均值也应该是non-decreasing才对啊。 ？？？

D、为什么bootstrap可以得到ES ？

第一题为什么均值可以忽略？

为什么每次视频解析讲的都比答案解析简单呢…答案解析我都看不懂😓 1.“With duration mapping, a portfolio is replaced by a zero-coupon bond with maturity equal to the duration of the portfolio. The risk of the hypothetical zeros is less than the risk of a coupon bond of comparable maturity.（这前后两句话有关联嘛，前面是说把原债券映射成maturity是久期的零息债，后面拿来跟它比的a coupon bond of comparable maturity是什么？说的不是principal mapping出来的零息债啊。）Therefore, the portfolio VaR using duration mapping is less than the portfolio VaR using principal mapping”然后结尾又得出了duration mapping跟principal mapping的对比结论😓 2.“According to the definition and the question specification of buckets, both VaRs should be the same.Option D is incorrect because of the same reason for the correctness of Option A.”这句话啥意思看不懂……

Ⅳ为什么不是杠杆5%缩小十倍？10 to 1 ratio是10比1吗

The diversified VaR is lower due to two factors. First, risk measures are not perfectly linear with maturity.求解释…