爱考云 - 搜题找答案神器_海量试题解析在线查

题目 A commodity-trading firm has an options portfolio with a two-day Value-at-Risk (VaR) of $2.5 million. What would be an appropriate translation of this VaR to a ten-day horizon under normal [...]

题目 Which of the following statements about stress testing are true? I. Stress testing can complement VaR estimation in helping risk managers identify crucial vulnerabilities in a portfolio. II. [...]

题目 A portfolio contains three independent bonds each with identical (i.i.d.) $100 par value, 3.0% probability of default (EDF) and loss given default (LGD) of 100%. What is, respectively, the [...]

题目 A department store chain has a B1 rating from Moody’s and a B+ rating from S&P. Its balance sheet reflects a large number of receivables from shoppers who use the chain’s private label [...]

题目 To convert VaR from a one-day holding period to a ten-day holding period the VaR number is generally multiplied by: 选项 A.2.33 B.3.16 C.7.25 D.10.00 答案 B 解析 We use the square root [...]

题目 Which of the following statements comparing VaR with expected shortfall is true? 选项 A.Expected shortfall is sub-additive while VaR is not. B.Both VaR and expected shortfall measure the [...]

题目 A European put option on a non-dividend paying stock has a remaining life of 6 months with a strike of USD 50 and the risk-free rate of 1%, after 3 months which of the following stock prices [...]

题目 Which of the following statements is correct? I The rho of a call option changes with the passage of time and tends to approach zero as expiration approaches, but this is not true for the rho [...]

题目 Consider the following about a European call option with one year maturity and strike price of $100.00 while the stock's volatility is 30.0% per annum and the risk-free rate is 2.0%: When the [...]

题目 An options dealer sells equity call options. When sold, the options are at-the-money and the firm will be delta-neutral hedged. Which of the following statements is correct?I The options [...]