爱考云 - 搜题找答案神器_海量试题解析在线查

题目 Which statement best describes correlations and variances in times of financial crisis? 选项 A.There are only marginal changes in correlations and variances in times of crisis, and therefore [...]

题目 Given the following ratings transition matrix, calculate the two-period cumulative probability of default for a 'B' credit.「huixue_img/importSubject/1564170389406486528.png」 选项 A.2.0% [...]

题目 The delta-normal method applied to a long call option position could be a reasonably accurate approach for calculating the VaR if the option is: 选项 A.at the money B.deep in the money [...]

题目 A portfolio manager bought 1,000 call options on a non-dividend-paying stock, with a strike price of USD 100, for USD 6 each. The current stock price is USD 104 with a daily stock return [...]

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 Over the next year, an operational process model predicts a 95% probability of no loss occurrence and a 5% probability of a single loss occurrence. If the single loss occurs, the severity is [...]

题目 Which of the following are valid uses of Value at Risk? I Setting risk limits II Maximizing returns III Comparing risk across asset classes IV Identifying key risk factors in a portfolio [...]

题目 Mixed Fund has a portfolio worth USD 12,428,000 that consists of 42% of fixed income investments and 58% of equity investments. The 95% annual VaR for the entire portfolio is USD 1,367,000 and [...]

题目 A small hedge fund is running a portfolio with a 5-day VaR of $3.1 million. Assuming normal conditions what is the best estimate for VaR over a 2-day horizon? 选项 A.$1.2 million B.$2.0 [...]

题目 Which of the following is most accurate with respect to Delta-normal VaR? 选项 A.The delta-normal method provides accurate estimates of VaR for assets that can be expressed as a linear or [...]