there is a question and hope you can explain. Consider a trader with an investment in a corporate bond with face value of $100,000 and default of 0.5%. Over the next period, we can either have no default, with a return of zeroor default with a loss of $100,000. The payoffs are thus -$100,000 with probability of 0.5% and $0 with a probability of 99.5%. Since the probability of getting %0 is greater than 99%, the VaR at the 99% confidence level is $0 without taking the mean into account. This is consistent with the definition that VaR is the smallest loss, such that the right tail probability is at least 99%. Now consider a portfolio invested in 3 bonds A,B and C with same characters and independent payoffs. The portfolio var at the 99% is A 0. B. $100,000 C. $200,000 D. 300,000. Why the answer is B ? 1. the information already tells us that 99% VaR is $0. So why not $0? 2. as they are independent and undiversified, why not $100,000 ＋ $100,000 ＋100,000 = $300,000?

老师 习题集155题答案的这倒数三行话是什么意思？

老师 习题集140题不是选错的么 为什么答案是B

老师，投资级是快到期的时候违约概率高，投机级是短期时违约概率高。是这样理解吗？

Q59,题目中不是说Sam with respect to the short option position么？为什么老师讲的Sam是long put呢？

为什么haircut 越高，exposure 越小？ haircut代表的不是抵押品的折扣率吗？那折扣率越高代表抵押品不值钱。然后敞口这么就小了？？

老师，这里为什么不考虑long或short？

老师，为什么均值为spread5%？

上课时候讲国内的养老金是DB 但是养老金的sponsor是我们自己 风险也是我们来承担 请问这个怎么理解

老师，C选项的中文解析是不是错了，是流动性差的吧？