Which of the following statements about the risk anomaly is TRUE? B. Due to time-varying reality, it is theoretically intractable to create a reproducible benchmark for either the low beta or low volatility risk anomalities such that empirical tests of the risk anomalities are not robust and the discussion remains "largely theoretical" C. The risk anomaly might be explained by investors who are leveraged constrained and/or have an "agency problem" created by a need to minimize tracking error with the benchmark. 想问老师为什么B不对呢，答案是C

The investment Committee at your firm has a longstanding practice of weighing alpha, among other factors and criteria, in its evaluation of external managers. However, a member voiced concern about the reliablilty of alpha in the context of certain strategies with known non-linear payoffs.The committee wants to better evaluate manager alpha in light of these non-linear strategies.Which of the following is most viable? A. One approach to accounting for nonlinear payoffs is to include tradeable nonlinear factors. C. The easiest way to compute tradeable alpha in the case of nonlinear payoffs is to include nonlinear terms, in particular quadratic terms, on the right-hand side of the factor regression; for example, r^2(t) or max[r(t),0] 想问下老师为什么C不对 另外，感觉二级的课能听懂但是做题准确率实在和一级的时候差太远，感觉特别担心呢。。。二级的题目看上去感觉都对。。。

想问下课件中计算incremental var 用的等式中用的是MVaR乘以W 这个W是指什么？它和计算CVaR中MVaR乘的V有什么区别？

如果总体的话肯定是有分散效应的，但是这道题问的是组合中单个资产的component var 和individual var 的区别啊，就组合里的单个资产怎么会有分散化的效应？

老师好， 请介绍一下Arbitrage CDOs 和 Balance sheet CDOs， 似乎ppt上没讲过啊。

信用风险管理里面第4节课算cva的时候没有乘survival rate，算bcva的时候就要乘了呢

是不是这个算的有问题，和你一样的折现，但是就是算出来价格不对。

老师新年好！我想问下这个利率二叉树的这里，按照利率折现债券的价格和你算的不一样呀！

为什么coupla公式要求累计违约概率的反函数，而不是边际违约概率的反函数。题目不是要求两个公司在单一年年份的联合的违约概率嘛？

老师好， 请问在这个实际例子中， 作为中间发行CLN 的 Trust 得到的利益是什么？