题目 Delta-normal, historical simulation and Monte Carlo are various methods available to compute VaR. If underlying returns are normally distributed, then the 选项 A.Delta-normal method VaR will [...]
题目 A large bank currently has a security portfolio with a market value of $145 million. The daily returns on the bank's portfolio are normally distributed with 80% of the distribution lying [...]
题目 Bank regulators are examining the loan portfolio of a large, diversified lender. The regulators' main concern is that the bank remains solvent during turbulent economic times. Which of the [...]
题目 Which of the following statements is incorrect, given the following one-year rating transition matrix?「huixue_img/importSubject/1564170388630540288.png」 选项 A.BBB loans have a 4.08% [...]
题目 Which of the following is NOT an approach to estimate the VaR? 选项 A.GARCH B.Parametric C.Simulation D.Delta-normal 答案 A 解析 GARCH is a method to predict [...]
题目 In an attempt to understand country risk, Mary Ann Small, an analyst at Global Funds, examines multiple sources of information to determine the truest measure of risk. She considers sovereign [...]
题目 Monte Carlo simulation and the historical method are two means of calculating VaR. Which of the following describes a disadvantage of the Monte Carlo method compared to the historical method [...]
题目 A single stock has a price of USD 10 and a current daily volatility of 2%. Using the delta-normal method, the VaR at the 95% confidence level of a long at-the-money call on this stock over a [...]
题目 The historical simulation approach is more likely to provide an accurate estimate of the VaR than the Risk Metrics approach for a portfolio that consists of: 选项 A.a small number of [...]
题目 Howard Freeman manages a portfolio of investment securities for a regional bank. The portfolio has a current market value equal to USD 6,247,000 with a daily variance of 0.0002. Assuming there [...]
