爱考云 - 搜题找答案神器_海量试题解析在线查

题目 R1≥R2,then,ρ(R1)≤ρ(R2)，is the mathematical equation for which property of a coherent risk measure? 选项 A.Positive homogeneity B.Translation invariance C.Monotonicity D.Subadditivity [...]

题目 Which of the following approaches to value at risk (VaR) estimation is the LEAST dependent (if at all) on the historical return series? 选项 A.Parametric B.GARCH(1,1) C.Hybrid of parametric [...]

题目 What is the correct interpretation of a $3 million overnight VaR figure with 99% confidence level? 选项 A.The institution can be expected to lose at most $3 million in 1 out of next 100 [...]

题目 Borough Corporation has selected a single risk metric to target in its risk management process. Steve Roland, FRM, and Bill Pound, FRM, are discussing the implications of the choice. Roland [...]

题目 It is often possible to estimate the Value at Risk of a vanilla European options portfolio by using a delta-gamma methodology rather than exact valuation formulas because: 选项 A.Delta and [...]

题目 If you use Delta VaR for a portfolio of options, which of the following statements is always correct? 选项 A.It necessarily understates the VaR because it uses a linear approximation. B.It [...]

题目 A risk manager states that the VaR of the portfolio at 95% confidence interval and 1-day holding period is $1 million. Which of the following statement is TRUE? 选项 A.The daily loss on the [...]

题目 Rational Investment Inc. is estimating a daily VaR for its fixed income portfolio currently valued at USD 800 million. Using returns for the last 400 days. (ordered in decreasing order, from [...]

题目 Fat-tailed asset return distributions are most likely the result of time-varying: 选项 A.Volatility for the unconditional distribution B.Means for the unconditional distribution C.Volatility [...]

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 [...]