题目 Which of the following are valid uses of Value at Risk? I Setting risk limits II Maximizing returns III Comparing risk across asset classes IV Identifying key risk factors in a portfolio [...]
题目 Mixed Fund has a portfolio worth USD 12,428,000 that consists of 42% of fixed income investments and 58% of equity investments. The 95% annual VaR for the entire portfolio is USD 1,367,000 and [...]
题目 A small hedge fund is running a portfolio with a 5-day VaR of $3.1 million. Assuming normal conditions what is the best estimate for VaR over a 2-day horizon? 选项 A.$1.2 million B.$2.0 [...]
题目 Which of the following is most accurate with respect to Delta-normal VaR? 选项 A.The delta-normal method provides accurate estimates of VaR for assets that can be expressed as a linear or [...]
题目 A bank has calculated a Value at Risk (VaR) of $10 million on its portfolio on a 1-day 99% confidence interval. Assuming a normal distribution which of the following is true? 选项 A.The bank [...]
题目 You are analyzing the risk management system of an asset manager. The asset manager's objective is to follow S&P 500. The portfolio does not have any options. Which of the following is [...]
题目 In the presence of fat tails in the distribution of returns, VaR based on the delta-normal method would (for a linear portfolio): 选项 A.Underestimate the true VaR. B.Be the same as the true [...]
题目 A trader has an option position in crude oil with a delta of 100,000 barrels and gamma of 50,000 barrels per dollar move in price. Using the delta-gamma methodology, compute the VaR on this [...]
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 Assume you are using a GARCH model to forecast volatility that you use to calculate the one-day VaR. If volatility is mean reverting, what can you say about the t day VaR? 选项 A.It is less [...]
