题目 An analyst is concerned that the trading strategy she recently identified has generated a statistically insignificant result and has asked for guidance in assessing the strategy. A result is [...]
题目 A portfolio has a mean value of $60 million and a daily standard deviation of $8 million. Assuming that the portfolio values are normally distributed, the lowest value that the portfolio will [...]
题目 At a major broker-dealer, there occurs on average a high-frequency, low-severity (HFLS) operational loss five times per day. According to a Poisson distribution, on a given single day, what is [...]
题目 Calculate the probability of a subsidiary and parent company both defaulting over the next year. Assume that the subsidiary will default if the parent defaults, but the parent will not [...]
题目 A two-sided but very thick coin is expected to land on its edge twice out of every 100 flips. And the probability of face up (heads) and the probability of face down (tails) are equal. When [...]
题目 Assume today's stock price S(0) is $100, the daily log (continuously compounded) return has mean of 0.0 and standard deviation of 0.10 (10%), and tomorrow's stock price is lognormally [...]
题目 What can be said about a distribution that has fatter tails than a normal distribution (given the same variance)? 选项 A.It has a positive kurtosis. B.It has a negative kurtosis. C.It has a [...]
题目 The correlation coefficient for two dependent random variables is equal to: 选项 A.the product of the standard deviations for the two random variables divided by the covariance. B.the [...]
题目 Which of the following are characteristics of a normal distribution? I.Skewness equals to zero. II.Mean less than median. III.Kurtosis greater than zero. IV.Continuous and unbounded. 选项 [...]
题目 Using standard Monte Carlo methods, an analyst prices a European call options using 1,000 simulations of underlying stock price. The option price is estimated at USD 1.00 with a standard error [...]
