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题目 Under the Moody’s bond rating system, the threshold for non-investment grade debt is reached when a bond’s rating falls from: 选项 A.A to Baa B.Baa to Ba C.Ba to B D.Caa to D 答案 B [...]

题目 What is the lowest tier of an investment grade credit rating by Moody's? 选项 A.Baa1 B.Ba1 C.Baa3 D.Ba3 答案 C 解析 Investment grade debt is debt rated BBB- rated or better by Standard's [...]

题目 Consider the risk of a long call on an asset with a notional amount of $1 million. The VaR of the underlying asset is 7.8%. If the option is a short-term at-the-money option, the VaR of the [...]

题目 You are asked by your Chief Risk Officer to evaluate arguments he has heard to switch from VaR to conditional VaR as your firm's main risk measurement tool. Which of the following arguments is [...]

题目 Which of the following statements are TRUE? 选项 A.VaR fails to tell us what losses to expect once the VaR threshold is breached. B.VaR gives an estimate of maximum loss at the given [...]

题目 In designing its sovereign bond investment evaluation methodology, the Investment Committee at your firm is deciding whether to incorporate sovereign credit ratings by major firms (namely [...]

题目 The measurement error in VaR due to sampling variation should be greater with: 选项 A.More observations and a high confidence level (e.g. 99%) B.Fewer observations and a high confidence [...]

题目 If stock returns are independently, identically, normally distribution and the annual volatility is 30%, then the daily VaR at the 99% confidence level of a stock market portfolio is [...]

题目 With regard to a bond credit rating change, which of the following statements is most correct? 选项 A.A ratings downgrade is likely to lead to a stock price decrease and a bond price [...]

题目 Hugo Nelson is preparing a presentation on the attributes of value at risk. Which of Nelson's following statements is not correct? 选项 A.VaR can account for the diversified holdings of a [...]