题目 Sally works for a fund that has a mandate to allocate a certain portion of its fund to developing (and/or emerging) countries in Asia, Africa or South America. However, the fund is sensitive [...]
题目 Tip-Top, Inc., (Tip-Top) has a commitment with Super Size Bank for $10 million. The terms of the loan are fixed and cannot be changed over its life. Tip-Top experiences an unexpected change in [...]
题目 The standard VaR calculation for extension to multiple periods assumes that returns are serially uncorrelated. If prices display trends, the true VaR will be: 选项 A.The same as the standard [...]
题目 Given the following 30 ordered simulated percentage returns of an asset, calculate the VaR and expected shortfall (both expressed in terms of returns) at a 90% confidence level.-16, -14, -10, [...]
