题目 A risk manager would like to measure VaR for a bond. He notices that the bond has a puttable feature. What effect on the VaR will this puttable feature have? 选项 A.The VaR will increase. [...]
题目 Which VaR methodology is least effective for measuring options risk? 选项 A.Variance\/covariance approach B.Delta\/gamma C.Historical simulation approach D.Monte Carlo approach 答案 A [...]
题目 A Monte Carlo VaR model is preferred over the Delta-normal approach when: 选项 A.Volatilities change over time. B.The portfolio has linear exposures to many sources of risk. C.The risk [...]
题目 An analyst at Bergman International Bank has been asked to explain the calculation of VaR for linear derivatives to the newly hired junior analysts. Which of the following statements best [...]
题目 R1≥R2,then,ρ(R1)≤ρ(R2)，is the mathematical equation for which property of a coherent risk measure? 选项 A.Positive homogeneity B.Translation invariance C.Monotonicity D.Subadditivity [...]
题目 Which of the following approaches to value at risk (VaR) estimation is the LEAST dependent (if at all) on the historical return series? 选项 A.Parametric B.GARCH(1,1) C.Hybrid of parametric [...]
题目 What is the correct interpretation of a $3 million overnight VaR figure with 99% confidence level? 选项 A.The institution can be expected to lose at most $3 million in 1 out of next 100 [...]
题目 Borough Corporation has selected a single risk metric to target in its risk management process. Steve Roland, FRM, and Bill Pound, FRM, are discussing the implications of the choice. Roland [...]
题目 It is often possible to estimate the Value at Risk of a vanilla European options portfolio by using a delta-gamma methodology rather than exact valuation formulas because: 选项 A.Delta and [...]
题目 If you use Delta VaR for a portfolio of options, which of the following statements is always correct? 选项 A.It necessarily understates the VaR because it uses a linear approximation. B.It [...]
