题目 A risk manager states that the VaR of the portfolio at 95% confidence interval and 1-day holding period is $1 million. Which of the following statement is TRUE? 选项 A.The daily loss on the [...]
题目 Rational Investment Inc. is estimating a daily VaR for its fixed income portfolio currently valued at USD 800 million. Using returns for the last 400 days. (ordered in decreasing order, from [...]
题目 Fat-tailed asset return distributions are most likely the result of time-varying: 选项 A.Volatility for the unconditional distribution B.Means for the unconditional distribution C.Volatility [...]
题目 Consider the following single stock portfolio: Stock ABC has a market position of $200,000 and an annualized volatility of 30%. Calculate the linear VaR with 99% confidence level for a 10 [...]
题目 Which of the following VaR methodologies most closely resembles the approach followed by Risk Metrics? 选项 A.Structured Monte Carlo B.Stress testing C.Delta-normal method D.Historical [...]
题目 The VaR of a portfolio at 95% confidence level is 15.2. If the confidence level is raised to 99% (assuming a one-tailed normal distribution), the new value of VaR will be closest to: 选项 [...]
题目 Which of the following statement（ ） about VaR is TRUE? I Value at risk is useful for examining a firm's day-to-day market risk exposure, but it may not accurately reflect the effects of [...]
题目 What is the appropriate interpretation of a 10 million overnight VaR figure, given a 95% confidence interval? 选项 A.The bank can be expected to incur a minimum loss of 10 million in 5 out [...]
题目 We assume a lambda parameter of 0.850 under an exponential smoothing (i.e., EWMA) approach to the estimation of today's (t) daily volatility. Yesterday (t-1) is the most recent daily return in [...]
题目 After evaluating the results of a firm’s stress tests, an analyst is recommending that the firm allocate additional economic capital and purchase selective insurance protection to guard [...]
