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 VaR methodologies most closely resembles the approach followed by Risk Metrics? 选项 A.Structured Monte Carlo B.Stress testing C.Delta-normal method D.Historical [...]

题目 The VaR of a portfolio at 95% confidence level is 15.2. If the confidence level is raised to 99% (assuming a one-tailed normal distribution), the new value of VaR will be closest to: 选项 [...]

题目 Which of the following statement（　） about VaR is TRUE? I Value at risk is useful for examining a firm's day-to-day market risk exposure, but it may not accurately reflect the effects of [...]

题目 What is the appropriate interpretation of a 10 million overnight VaR figure, given a 95% confidence interval? 选项 A.The bank can be expected to incur a minimum loss of 10 million in 5 out [...]

题目 We assume a lambda parameter of 0.850 under an exponential smoothing (i.e., EWMA) approach to the estimation of today's (t) daily volatility. Yesterday (t-1) is the most recent daily return in [...]

题目 After evaluating the results of a firm’s stress tests, an analyst is recommending that the firm allocate additional economic capital and purchase selective insurance protection to guard [...]

题目 Which of the following methodologies is least effective for estimating the VaR due to embedded options? 选项 A.Delta gamma B.Variance covariance C.Historical simulation D.Monte Carlo [...]

题目 John Flag, the manager of a USD 150 million distressed bond portfolio, conducts stress tests on the portfolio. The portfolio’s annualized return is 12%, with an annualized return volatility [...]

题目 A financial institution created a model to measure interest rate volatility. The historical distribution of interest rate volatility did not appear to be normally distributed due to the [...]

题目 Consider the following levels of sophistication in Risk Management Models and Procedures: I. Mark to Market Analysis II. Stress/Scenario Analysis III. Simulation Value at Risk IV. Parametric [...]