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题目 Sally works for a fund that has a mandate to allocate a certain portion of its fund to developing (and/or emerging) countries in Asia, Africa or South America. However, the fund is sensitive [...]
题目 Tip-Top, Inc., (Tip-Top) has a commitment with Super Size Bank for $10 million. The terms of the loan are fixed and cannot be changed over its life. Tip-Top experiences an unexpected change in [...]
题目 The standard VaR calculation for extension to multiple periods assumes that returns are serially uncorrelated. If prices display trends, the true VaR will be: 选项 A.The same as the standard [...]
题目 Given the following 30 ordered simulated percentage returns of an asset, calculate the VaR and expected shortfall (both expressed in terms of returns) at a 90% confidence level.-16, -14, -10, [...]
题目 Which statement best describes correlations and variances in times of financial crisis? 选项 A.There are only marginal changes in correlations and variances in times of crisis, and therefore [...]
题目 Given the following ratings transition matrix, calculate the two-period cumulative probability of default for a 'B' credit.「huixue_img/importSubject/1564170389406486528.png」 选项 A.2.0% [...]
题目 The delta-normal method applied to a long call option position could be a reasonably accurate approach for calculating the VaR if the option is: 选项 A.at the money B.deep in the money [...]
题目 A portfolio manager bought 1,000 call options on a non-dividend-paying stock, with a strike price of USD 100, for USD 6 each. The current stock price is USD 104 with a daily stock return [...]
题目 Tip-Top, Inc., (Tip-Top) has a commitment with Super Size Bank for $10 million. The terms of the loan are fixed and cannot be changed over its life. Tip-Top experiences an unexpected change in [...]
题目 Over the next year, an operational process model predicts a 95% probability of no loss occurrence and a 5% probability of a single loss occurrence. If the single loss occurs, the severity is [...]