题目 Given that x and y are random variables, and a, b, c and d are constant, which one of the following definitions is wrong? 选项 A.E(ax+by +c) = aE(x) + bE(y) + c, if x and y are correlated. [...]
题目 Roy Thomson, a global investment risk manager of FBN Bank, is assessing markets A and B using a two-factor model. In order to determine the covariance between markets A and B, Thomson [...]
题目 The return on a portfolio is normally distributed with an expected rate of return of 10%, and a standard deviation of 20%. What is the probability that the return will be between 0% and 5%? [...]
题目 A distribution of asset returns that has a significantly higher probability of obtaining large losses is described as: 选项 A.Thin tailed B.Asymmetrical C.Fat tailed D.Symmetrical 答案 C [...]
题目 Let X and Y are two random variables representing the annual returns of two different portfolios. If E(X) = 3, E(Y) = 4 and E(XY) = 11, then what is the covariance? 选项 A.5 B.1 C.0 D.-1 [...]
题目 If the average rate of HFLS operational loss events instead is 20 per workweek (20 every five days), if we assume a Poisson distribution, what is the probability on a given single day that [...]
题目 Peter the Risk Analyst wants to characterize an operational loss severity process with a relatively simple and recognizable probability distribution. His first choice is the lognormal [...]
题目 If the daily returns of two assets are positively correlated, then: 选项 A.the covariance of their daily returns must be positive. B.the covariance of their daily returns must be zero. C.the [...]
题目 An analyst is studying a stock that is currently trading at $35. The analyst estimates that there is 33% probability that the stock will trade at $50 after one year, a 20% probability that the [...]
题目 The covariance between variable A and variable B is 5. The correlation between A and B is 0.50. If the variance of A is 12, what is the variance of B? 选项 A.10.00 B.2.89 C.8.33 D.14.40 [...]
