题目 The following table from Fitch Ratings shows the number of rated issuers migrating between two ratings categories during one year.「huixue_img/importSubject/1564170388919947264.jpeg」Based [...]
题目 The VaR on a portfolio using a 1-day horizon is USD 100 million. The VaR using a 10-day horizon is: 选项 A.USD 316 million if returns are not independently and identically distributed. B.USD [...]
题目 Value at risk (VaR) measures should be supplemented by portfolio stress testing because: 选项 A.VaR does not indicate how large the losses will be beyond the specified confidence level. [...]
题目 A market risk manager uses historical information on 1,000 days of profit/loss information to calculate a daily VaR at the 99th percentile, of USD 8 million. Loss observations beyond the 99th [...]
题目 Under the Moody’s bond rating system, the threshold for non-investment grade debt is reached when a bond’s rating falls from: 选项 A.A to Baa B.Baa to Ba C.Ba to B D.Caa to D 答案 B [...]
题目 What is the lowest tier of an investment grade credit rating by Moody's? 选项 A.Baa1 B.Ba1 C.Baa3 D.Ba3 答案 C 解析 Investment grade debt is debt rated BBB- rated or better by Standard's [...]
题目 Consider the risk of a long call on an asset with a notional amount of $1 million. The VaR of the underlying asset is 7.8%. If the option is a short-term at-the-money option, the VaR of the [...]
题目 You are asked by your Chief Risk Officer to evaluate arguments he has heard to switch from VaR to conditional VaR as your firm's main risk measurement tool. Which of the following arguments is [...]
题目 Which of the following statements are TRUE? 选项 A.VaR fails to tell us what losses to expect once the VaR threshold is breached. B.VaR gives an estimate of maximum loss at the given [...]
题目 In designing its sovereign bond investment evaluation methodology, the Investment Committee at your firm is deciding whether to incorporate sovereign credit ratings by major firms (namely [...]
