爱考云 - 搜题找答案神器_海量试题解析在线查

题目 A bank has calculated a Value at Risk (VaR) of $10 million on its portfolio on a 1-day 99% confidence interval. Assuming a normal distribution which of the following is true? 选项 A.The bank [...]

题目 You are analyzing the risk management system of an asset manager. The asset manager's objective is to follow S&P 500. The portfolio does not have any options. Which of the following is [...]

题目 In the presence of fat tails in the distribution of returns, VaR based on the delta-normal method would (for a linear portfolio): 选项 A.Underestimate the true VaR. B.Be the same as the true [...]

题目 A trader has an option position in crude oil with a delta of 100,000 barrels and gamma of 50,000 barrels per dollar move in price. Using the delta-gamma methodology, compute the VaR on this [...]

题目 A commodity-trading firm has an options portfolio with a two-day Value-at-Risk (VaR) of $2.5 million. What would be an appropriate translation of this VaR to a ten-day horizon under normal [...]

题目 Assume you are using a GARCH model to forecast volatility that you use to calculate the one-day VaR. If volatility is mean reverting, what can you say about the t day VaR? 选项 A.It is less [...]

题目 The following table from Fitch Ratings shows the number of rated issuers migrating between two ratings categories during one year.「huixue_img/importSubject/1564170388919947264.jpeg」Based [...]

题目 The VaR on a portfolio using a 1-day horizon is USD 100 million. The VaR using a 10-day horizon is: 选项 A.USD 316 million if returns are not independently and identically distributed. B.USD [...]

题目 Value at risk (VaR) measures should be supplemented by portfolio stress testing because: 选项 A.VaR does not indicate how large the losses will be beyond the specified confidence level. [...]

题目 A market risk manager uses historical information on 1,000 days of profit/loss information to calculate a daily VaR at the 99th percentile, of USD 8 million. Loss observations beyond the 99th [...]