爱考云 - 搜题找答案神器_海量试题解析在线查

题目 Which of the following is NOT an approach to estimate the VaR? 选项 A.GARCH B.Parametric C.Simulation D.Delta-normal 答案 A 解析 GARCH is a method to predict [...]

题目 In an attempt to understand country risk, Mary Ann Small, an analyst at Global Funds, examines multiple sources of information to determine the truest measure of risk. She considers sovereign [...]

题目 Monte Carlo simulation and the historical method are two means of calculating VaR. Which of the following describes a disadvantage of the Monte Carlo method compared to the historical method [...]

题目 A single stock has a price of USD 10 and a current daily volatility of 2%. Using the delta-normal method, the VaR at the 95% confidence level of a long at-the-money call on this stock over a [...]

题目 The historical simulation approach is more likely to provide an accurate estimate of the VaR than the Risk Metrics approach for a portfolio that consists of: 选项 A.a small number of [...]

题目 Howard Freeman manages a portfolio of investment securities for a regional bank. The portfolio has a current market value equal to USD 6,247,000 with a daily variance of 0.0002. Assuming there [...]

题目 A risk manager would like to measure VaR for a bond. He notices that the bond has a puttable feature. What effect on the VaR will this puttable feature have? 选项 A.The VaR will increase. [...]

题目 Which VaR methodology is least effective for measuring options risk? 选项 A.Variance\/covariance approach B.Delta\/gamma C.Historical simulation approach D.Monte Carlo approach 答案 A [...]

题目 A Monte Carlo VaR model is preferred over the Delta-normal approach when: 选项 A.Volatilities change over time. B.The portfolio has linear exposures to many sources of risk. C.The risk [...]

题目 An analyst at Bergman International Bank has been asked to explain the calculation of VaR for linear derivatives to the newly hired junior analysts. Which of the following statements best [...]