谁能不吝赐教conditional var在handbook or notes的哪一部分讲解的？多谢！

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RT

因为看了一道真题还是模拟题，想找知识点出处。
感谢！！

46. You are asked by your Chief Risk Officer to evaluate arguments he has heard to switch from VaR to conditional VaR as your firm’ main risk measurement tool. Which of the following arguments is not correct?

   a.  Conditional VaR is a coherent risk measure in contrast to VaR.
   b.  Conditional VaR estimated for a confidence level corresponding to one minus the probability of default for the firm’s target rating provides an unbiased measure of the amount of the economic capital required above the firm’s bankruptcy threshold point to achieve the probability of default associated with the firm’s target rating.
   c.  A low VaR does not mean that the firm will make small losses when VaR is exceeded, but a low conditional VaR means that the firm will make small losses when VaR is exceeded.
   d.  For the same confidence level, conditional VaR is greater than VaR.

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关键词：conditional condition handbook dition notes VaR handbook notes 不吝 conditional

第一大部分 自己查查吧

对不起 好像在后面章节

2# silverbulletliu

谢谢回复！不过你说的第一大部分，指的是ｈａｎｄｂｏｏｋ？
ｈａｎｄｂｏｏｋ我已经翻过几遍了，第一部分主要是数量，可能是不够细吧，不记得什么地方讲过ｃｏｎｄｉｔｉｏｎａｌ　ｖａｒ。

3# silverbulletliu

哦，没关系，我再找找好了。

for 5th edition, P.256, chapter 10.2.3 Market Risk Management

a b d 都是错的

Study Notes Book5 P15 最后一段

a is right as conditional VaR is sub-additive;
As conditional VaR measures the expected tail loss, c is right;
d is, quite obviouis, right;

I think b is not correct.
So, the answer is b.

太棒了，感谢！
6# peterchanever