题目 The measurement error in VaR due to sampling variation should be greater with: 选项 A.More observations and a high confidence level (e.g. 99%) B.Fewer observations and a high confidence [...]
题目 If stock returns are independently, identically, normally distribution and the annual volatility is 30%, then the daily VaR at the 99% confidence level of a stock market portfolio is [...]
题目 With regard to a bond credit rating change, which of the following statements is most correct? 选项 A.A ratings downgrade is likely to lead to a stock price decrease and a bond price [...]
题目 Hugo Nelson is preparing a presentation on the attributes of value at risk. Which of Nelson's following statements is not correct? 选项 A.VaR can account for the diversified holdings of a [...]
题目 Why is the delta normal approach not suitable for measuring options portfolio risk? 选项 A.There is a lack of data to compute the variance\/covariance matrix. B.Options are generally [...]
题目 Consider the following single stock portfolio: Stock ABC has a market position of $200,000 and an annualized volatility of 30%. Calculate the linear VaR with 99% confidence level for a 10 [...]
题目 Which of the following is not a true statement about internal credit ratings? 选项 A.The \u201cat-the-point-in-time\u201d approach makes heavy use of econometric modeling that relates [...]
题目 A company reports a one-week VaR of $1 million at the 95% confidence level. Which of the following statements is most likely to be true? 选项 A.The daily return on the company portfolio [...]
题目 Which of the following is a disadvantage of the historical simulation method over the Risk Metrics model? The historical method requires: I. A worst-case scenario as an input. II. The future [...]
题目 The Basel Committee on Banking Supervision has written stress testing principles for banks related to supervision. How many of the following statements are most likely correct regarding [...]
