信用风险第5课，第90分钟左右，讲义111页那个表格，A表的显示porfolio A，value大于1000000，那要让B交抵押品，是775000，porfolioB value大于1000000，也要A交抵押品625000，对吧，双边netting一下才是B给A交150000，对吧，是这个意思吗？

信用风险第5课里面53分钟老师举的这个·例子，若b和c之间不存在交易，也可以这样netting？

请问在within asset classes 中，要得到流动性溢价是不是就是买入流动性差的 ，卖出流动性好的？ 比如 买入 off the run 卖出on the run

"The CAPM was revolutionary because it was the first cogent theory to recognize that the risk of an asset was not how that asset behaved in isolation but how that asset moved in relation to other assets and to the market as a whole. Before the CAPM, risk was often thought to be an asset's own volatility. The CAPM said this was irrelevant and that the relevant measure of risk was how the asset covaried with the market portfolio--the beta of the asset." What else does he say is true about the CAPM? A.CAPM is known to be a spectacular failure with respect to its predictive power. B.Neither finance professors nor CFO employ CAPM C. Equilibrium asserts that factors are temporary because arbitrageurs eventually eliminate factors. D. Investors make very different predictions about asset returns, variances and correaltions; equilibrium is theory that says this diversity of beliefs is reconciled via the market price mechanism of supply and demand.请老师解释下这题，谢谢！

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。。。

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？