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3719Stress Testing a Hedge Book Versus Marking It TodayRisk asks for a stress distribution of tomorrow's hedge-book PnL, while front office asks for today's mark of the same book. Should both use the same measure?随机过程中等essay未尝试面试订阅3720Why VaR and Option Price Should Not Share a Drift Assumption by DefaultWhy is it usually a mistake to force the same drift assumption into both VaR simulations and derivative pricing models?随机过程中等essay未尝试面试订阅3721Choosing a Measure for Expected Realized Dividend YieldAn equity team wants the expected dividend yield that will actually be realized over the next year. Should that expectation be taken under P or Q?随机过程中等essay未尝试面试订阅3722Explaining Why Q Is Not 'What the Market Thinks Will Happen'A candidate says Q is simply 'the market's true belief about future prices.' Why is that statement too crude?随机过程中等essay未尝试面试订阅3723Why P Is Not Enough to Price a Replicable ClaimWhy is a physical-measure expectation not enough on its own to pin down the fair price of a replicable derivative?随机过程中等essay未尝试面试订阅3724Scenario Analysis for a Funding DeskA funding desk wants a scenario distribution for next week's funding spread moves so it can size liquidity buffers. Which measure is appropriate?随机过程中等essay未尝试面试订阅3725Monte Carlo for CVA Price Versus Monte Carlo for Expected Exposure ForecastIf one Monte Carlo is being run for CVA pricing and another for a forecast of realized counterparty exposure paths, should they naturally live under the same measure?随机过程中等essay未尝试面试订阅3726Delta-Hedge Attribution Versus Option MarkingA desk wants to decompose yesterday's realized delta-hedge PnL and also to mark the option book this morning. Which measure naturally fits each task?随机过程中等essay未尝试面试订阅3727Why Implied Volatility Lives Comfortably with Physical Return ForecastsWhy is it not contradictory to use implied volatility for option marking while using a separate physical return forecast for directional views?随机过程中等essay未尝试面试订阅3728Expected Return of a Stock Index Versus Futures Fair ValueA PM asks for the next-quarter expected return of an index, while a trader asks for the fair value of a future on that same index. How should the measures differ?随机过程中等essay未尝试面试订阅3729Choosing a Measure for a Risk Limit Based on Worst Expected ShortfallA risk committee sets a limit based on expected shortfall of actual desk PnL over ten days. Should the underlying probability law be thought of as P or Q?随机过程中等essay未尝试面试订阅3730Why a Positive Physical Equity Premium Does Not Force Option Prices Up by the Same AmountWhy does a strongly positive physical equity premium not automatically translate into a similarly boosted option price via drift?随机过程中等essay未尝试面试订阅3731Market-Implied Distribution Versus Best-Forecast DistributionHow should you explain the difference between a market-implied distribution from option prices and a best-forecast distribution built from macro signals?随机过程中等essay未尝试面试订阅3732Why a Desk Can Be Right Under P but Still Lose on a Q-Marked PositionHow can a desk's directional thesis be broadly right about realized moves while its marked-to-market derivative position still loses money?随机过程中等essay未尝试面试订阅3733Pricing an Option on Weather Versus Forecasting the Weather ItselfIf a firm trades a weather derivative, why might the measure used to price the contract differ from the one used by meteorologists to forecast temperature?随机过程中等essay未尝试面试订阅3734Which Measure for a Carry Forecast on a Bond PortfolioA rates strategist wants the carry that a bond portfolio is expected to realize over the next month if nothing unusual happens. Which measure is most natural?随机过程中等essay未尝试面试订阅3735Why Changing to Q Is Not Claiming Investors Expect Lower ReturnsWhy is moving from P to Q not the same as claiming that investors literally changed their economic expectations?随机过程中等essay未尝试面试订阅3736Why Physical Backtests Cannot Be Judged from Risk-Neutral Densities AloneWhy would it be a category error to judge a forecasting model's backtest solely against risk-neutral densities implied by option prices?随机过程中等essay未尝试面试订阅3737Choosing a Measure for a Macroeconomic Scenario TreeA strategist is building a scenario tree for inflation, GDP, and unemployment to assess portfolio vulnerability. Which measure is conceptually natural?随机过程中等essay未尝试面试订阅3738Why Q Is Convenient for Hedging but P Matters for Business PlanningWhy might a desk rely on Q for hedging and pricing calculations while still relying on P for budgeting and business planning?随机过程中等essay未尝试面试订阅