爱考云 - 搜题找答案神器_海量试题解析在线查

题目 Why is the delta normal approach not suitable for measuring options portfolio risk? 选项 A.There is a lack of data to compute the variance\/covariance matrix. B.Options are generally [...]

题目 Consider the following single stock portfolio: Stock ABC has a market position of $200,000 and an annualized volatility of 30%. Calculate the linear VaR with 99% confidence level for a 10 [...]

题目 Which of the following is not a true statement about internal credit ratings? 选项 A.The \u201cat-the-point-in-time\u201d approach makes heavy use of econometric modeling that relates [...]

题目 A company reports a one-week VaR of $1 million at the 95% confidence level. Which of the following statements is most likely to be true? 选项 A.The daily return on the company portfolio [...]

题目 Which of the following is a disadvantage of the historical simulation method over the Risk Metrics model? The historical method requires: I. A worst-case scenario as an input. II. The future [...]

题目 The Basel Committee on Banking Supervision has written stress testing principles for banks related to supervision. How many of the following statements are most likely correct regarding [...]

题目 Delta-normal, historical simulation and Monte Carlo are various methods available to compute VaR. If underlying returns are normally distributed, then the 选项 A.Delta-normal method VaR will [...]

题目 A large bank currently has a security portfolio with a market value of $145 million. The daily returns on the bank's portfolio are normally distributed with 80% of the distribution lying [...]

题目 Bank regulators are examining the loan portfolio of a large, diversified lender. The regulators' main concern is that the bank remains solvent during turbulent economic times. Which of the [...]

题目 Which of the following statements is incorrect, given the following one-year rating transition matrix?「huixue_img/importSubject/1564170388630540288.png」 选项 A.BBB loans have a 4.08% [...]