题目 A portfolio of bonds consists of five bonds whose default correlation is zero. The one-year probabilities of default of the bonds are: 1%, 2%, 5%, 10% and 15%. What is the one-year probability [...]
题目 Consider the following five random variables: A standard normal random variable; no parameters needed. A student's t distribution with 10 degrees of freedom; df = 10. A Bernoulli variable that [...]
题目 If Security A and Security B are positively correlated, and the price of Security A increases, then the price of Security B: 选项 A.will increase. B.will decrease. C.is most likely to [...]
题目 You are given that X and Y are random variables, and each of which follows a standard normal distribution with Covariance (X,Y) = 0.4. What is the variance of (5X + 2Y)? 选项 A.11.0 B.29.0 [...]
题目 The characteristic function of the product of independent random variables is equal to the: 选项 A.sum of the individual characteristic functions. B.product of the individual characteristic [...]
题目 If the variable (Y) is a normal random variable, such than 「huixue_img/importSubject/1564169387177545728.png」, which of the following (X) variables is lognormally (log-normally) [...]
题目 Which of the following statements is true regarding the bootstrap simulation method used in VaR estimation? I Bootstrapping uses actual market data. II The bootstrapping method always uses a [...]
题目 The distribution of one-year returns for a portfolio of securities is normally distributed with an expected value of €45 million, and a standard deviation of €16 million. What is the [...]
题目 Which of the following statements about probability distributions is least accurate? 选项 A.A probability distribution is, by definition, normally distributed. B.One of the key properties of [...]
题目 Given two variables X and Y that are lognormally distributed, what is the distribution of X × Y? 选项 A.Normal B.Lognormal C.Binomial D.None of the above 答案 B 解析 If X and Y are [...]
